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Wei Tsai
Department of Business Administration, National Chung-Hsing University, Taichung 402, Taiwan

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Journal article
Published: 02 August 2019 in Energies
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The oil price time series data can be affected by major global political and economic events, which would result in structural changes that could lead to biased estimations. By adopting the Bai and Perron model this paper found that there were six structural breaks in the Brent oil price due to major global events and that ARDL-ECM cointegration exists only between oil price and stock market volatility index (VIX) throughout the sampling period. However, cointegration relations were found between oil price and Crude Oil Volatility Index (OVX) in the second and fourth sub-periods, and also between oil price and VIX in the second, third, fourth, sixth, and seventh sub-periods. Furthermore, the cointegration relation coupled with correlation analysis indicates a long-term equilibrium positive (negative) relation between the two variables. Such relations existed between the price and the two fear gauges, respectively, only for some specific sub-periods, implying that OVX seemed to be better than VIX in predicting oil price changes. We suggest that the investors in the global oil market must pay attention to not only the impacts of major global political and economic events on oil price, but also the positive or negative correlations between oil price and fear gauge.

ACS Style

Jeng-Bau Lin; Wei Tsai. The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment. Energies 2019, 12, 2982 .

AMA Style

Jeng-Bau Lin, Wei Tsai. The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment. Energies. 2019; 12 (15):2982.

Chicago/Turabian Style

Jeng-Bau Lin; Wei Tsai. 2019. "The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment." Energies 12, no. 15: 2982.

Journal article
Published: 18 July 2019 in Sustainability
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This paper investigates the linear/nonlinear long-run and short-run dynamic relationships between oil prices and two implied volatilities, oil price volatility index (OVX) and stock index options volatility index (VIX), representing panic gauges. The results show that there is a long-run equilibrium relationship between oil prices and OVX (VIX) using the linear autoregressive distributed lag (ARDL)-bounds test. Likewise, while using the nonlinear autoregressive distributed lag (NARDL)-bounds test, not only does a long-run equilibrium relationship exist, but also the rising OVX (VIX) has a greater negative influence on oil prices than the declining OVX (VIX), thus indicating that a long-run, asymmetric cointegration exists between the variables. Furthermore, OVX (VIX) oil prices have a linear Granger causality, while for the nonlinear Granger causality test, oil prices have a bidirectional relation with OVX (VIX). In addition, we find that once major international political and economic events occur, structural changes in oil prices change the behavior of oil prices, and thus panic indices, thereby switching from a linear relationship to a nonlinear one. The empirical results of this study provide market participants with more valuable information.

ACS Style

Jeng-Bau Lin; Chin-Chia Liang; Wei Tsai. Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information. Sustainability 2019, 11, 3906 .

AMA Style

Jeng-Bau Lin, Chin-Chia Liang, Wei Tsai. Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information. Sustainability. 2019; 11 (14):3906.

Chicago/Turabian Style

Jeng-Bau Lin; Chin-Chia Liang; Wei Tsai. 2019. "Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information." Sustainability 11, no. 14: 3906.