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首页> 外文期刊>Energy economics >Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach
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Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach

机译：石油隐含波动率冲击对中国股票隐含波动率的影响：分位数回归方法的经验证据

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摘要

This paper investigates the impacts of changes in the implied volatility index of the oil market (OVX) on the changes in the implied volatility index of the Chinese stock market (VXFXI). A quantile regression approach is applied to our empirical analysis, as this approach can perform a more detailed investigation under different market conditions. Moreover, we test whether the VXFXI changes would respond with lags and asymmetry to the OVX changes. Our empirical results show that the impacts of the OVX changes on the VXFXI changes are positive and tend to be stronger in bearish markets. Furthermore, the results of testing lagged effects reveal that strong linkages between the two variables are transient in different market conditions, which don't support the gradual information diffusion hypothesis very, well. Finally, we find that the OVX changes can asymmetrically affect the VXFXI changes. Specifically, the negative OVX changes have stronger effects under bullish market conditions, while the positive OVX changes play a more important role during bearish periods. (C) 2019 Elsevier B.V. All rights reserved.
机译：本文研究了石油市场隐含波动率指数（OVX）的变化对中国股市隐含波动率指数（VXFXI）的影响。分位数回归方法应用于我们的经验分析，因为该方法可以在不同的市场条件下进行更详细的调查。此外，我们测试了VXFXI的变化是否会对OVX的变化产生滞后和不对称响应。我们的经验结果表明，OVX更改对VXFXI更改的影响是积极的，并且在看跌市场中往往更强。此外，滞后效应的检验结果表明，在不同的市场条件下，两个变量之间的强联系是暂时的，这并不能很好地支持渐进的信息扩散假设。最后，我们发现OVX更改可以非对称地影响VXFXI更改。具体而言，在看涨的市场条件下，负OVX的变化具有更强的影响，而在看跌时期，负的OVX的变化起着更重要的作用。 （C）2019 Elsevier B.V.保留所有权利。

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