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: Suggested Citation