Measuring the Oil Risk Effect on Industry Volatility Shocks

30 Pages Posted: 19 Jan 2016

Date Written: January 19, 2016

Abstract

I examine the information sequential hypothesis in complementary oil markets. Unlike the underreaction hypothesis suggested as an explanation to the lagged negative oil effect of financial return, a sequential information schedule through crude oil and gasoline provides a differential dynamic in the way oil risk is channeled to financial markets. Not only do I find that the market response to oil volatility risk is contemporaneous, but that crude oil triggers financial risk at the time of information, whereas gasoline effects of financial risk are subsequent to crude oil effects.

Keywords: Crude Oil Market, Gasoline Market, Industry Volatility, Sequential Information

JEL Classification: G13; Q40

Suggested Citation

Ben Sita, Bernard Mualuke, Measuring the Oil Risk Effect on Industry Volatility Shocks (January 19, 2016). Available at SSRN: https://ssrn.com/abstract=2157653 or http://dx.doi.org/10.2139/ssrn.2157653

Bernard Mualuke Ben Sita (Contact Author)

Lebanese American University ( email )

P.O. Box 13 - 5053
Chouran-Beirut 1102 2801
Lebanon

HOME PAGE: http://www.lau.edu.lb

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