It is generally known that violent oil price volatility will cause market panic; however, the extent to which is worthy of empirical test. Firstly, this paper employs the TVP-VAR model to analyze the time-varying impacts of oil price volatility on the panic index using monthly data from January 1990 to November 2021. Then, after using the SVAR model to decompose the oil price volatility, this paper uses the PDL model to analyze the heterogeneous impacts of oil price volatility from different sources. Finally, based on the results of oil decomposition, this paper uses the TARCH model to analyze the asymmetric impacts of oil price volatility in different directions. The results show that: (1) oil price volatility can indeed cause market panic, and these impacts exhibit time-varying characteristics; (2) oil price volatility from different sources has different impacts on the panic index, and the order from high to low is oil-specific demand shocks, supply shocks, and aggregate demand shocks; and (3) oil price volatility has asymmetric impacts on the panic index, and positive shocks have greater impacts than negative.

A large number of studies have confirmed that oil speculation has played a vital role in oil price fluctuation in recent years. However, the heterogeneous impact of oil financialization on oil price fluctuation has not received enough attention. Based on time series data from January 1990 to October 2021, this paper adopts the Time-Varying Parameter Vector Auto-Regression (TVP-VAR) model and the Ensemble Empirical Mode Decomposition (EEMD) method to study the heterogeneous impact of oil financialization on oil price fluctuation from three perspectives: different periods, different frequencies, and different time points of major events. The research results are as follows. First, the impact of oil financialization on oil price fluctuation in different periods is heterogeneous in terms of fluctuation amplitude and intensity. During major events such as the financial crisis or the COVID pandemic, the impact of oil financialization on oil price fluctuation is volatile and intense. Second, the impact of oil financialization on the oil price fluctuation of different frequencies is mainly reflected in the direction and duration. Oil financialization mainly promotes high-frequency oil price fluctuation in the short term, and it mainly suppresses low-frequency oil price fluctuation in the long term. Third, the impact of oil financialization on oil price fluctuation is heterogeneous in terms of duration, intensity, and transmission speed at different time points of major events.