WTI, Brent or implied volatility index: Perspective of volatility spillover from oil market to Chinese stock market
by Peng Qin, Manying Bai
This study investigates the impact of oil market uncertainty on the volatility of Chinese sector indexes. We utilize commonly used realized volatility of WTI and Brent oil price along with the CBOE crude oil volatility index (OVX) to embody the oil market uncertainty. Based on the sample span from Mar 16, 2011 to Dec 31, 2019, this study utilizes vector autoregression (VAR) model to derive the impacts of the three different uncertainty indicators on Chinese stock volatilities. Читать дальше...