Does oil and gold price uncertainty matter for the stock market?

Dennis Bams, Gildas Blanchard, Iman Honarvar*, Thorsten Lehnert

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

We proxy uncertainty in the stock oil and gold markets with the variance risk premia, extracted from futures and option contracts. We observe that an independent increase in the stock, oil or gold markets uncertainty coincides with negative returns in different industries. However, only the stock market uncertainty is a systematic priced factor in the entire cross section of stocks' expected returns. The oil price uncertainty is a sector-specific factor, and due to the industry segmentation of the market, it is only priced within oil-relevant industries. Gold price uncertainty is an asset-specific factor that is neither priced across nor within industries. (C) 2017 Elsevier B.V. All rights reserved.

Original languageEnglish
Pages (from-to)270-285
Number of pages16
JournalJournal of Empirical Finance
Volume44
DOIs
Publication statusPublished - Dec 2017

Keywords

  • VARIANCE RISK PREMIA
  • CONSISTENT COVARIANCE-MATRIX
  • VOLATILITY RISK
  • CROSS-SECTION
  • EXPECTED RETURNS
  • LONG-RUN
  • SHOCKS
  • AVERSION
  • BOND
  • HETEROSKEDASTICITY

Fingerprint

Dive into the research topics of 'Does oil and gold price uncertainty matter for the stock market?'. Together they form a unique fingerprint.

Cite this