Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic

This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, exchange rates and bond markets). To do so we estimate a rece...

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Autores: Antonakakis, N. (Nikolaos)|||/items/182198ee-9051-4fb3-bbab-95f164045a06, Cuñado, J. (Juncal)|||/items/2fe461d2-334e-4422-be6b-a8bd73f61e54, Filis, G. (George)|||/items/6aeb6513-8955-4ebe-a3e5-5a237319d2cb, Gabauer, D. (David)|||/items/5ad93f7e-2ebe-46f0-8c46-f1018376b4b3, Pérez-de-Gracia, F. (Fernando)|||/items/617bb85e-6c9e-4cdd-9793-7c2dd7e9ba45
Tipo de recurso: artículo
Fecha de publicación:2023
País:España
Institución:Universidad de Navarra
Repositorio:Dadun. Depósito Académico Digital de la Universidad de Navarra
Idioma:inglés
OAI Identifier:oai:dadun.unav.edu:10171/66315
Acceso en línea:https://hdl.handle.net/10171/66315
Access Level:acceso abierto
Palabra clave:Dynamic connectedness
Implied volatilities
Oil prices
Financial assets
TVP-VAR
COVID-19
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spelling Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemicAntonakakis, N. (Nikolaos)|||/items/182198ee-9051-4fb3-bbab-95f164045a06Cuñado, J. (Juncal)|||/items/2fe461d2-334e-4422-be6b-a8bd73f61e54Filis, G. (George)|||/items/6aeb6513-8955-4ebe-a3e5-5a237319d2cbGabauer, D. (David)|||/items/5ad93f7e-2ebe-46f0-8c46-f1018376b4b3Pérez-de-Gracia, F. (Fernando)|||/items/617bb85e-6c9e-4cdd-9793-7c2dd7e9ba45Dynamic connectednessImplied volatilitiesOil pricesFinancial assetsTVP-VARCOVID-19This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, exchange rates and bond markets). To do so we estimate a recently developed time-varying parameter vector autoregressive (TVP- VAR) connectedness approach using daily data spanning from March 16th, 2011 to March 3rd, 2021 — covering the first year of the COVID-19 pandemic. The empirical results suggest that connectedness across the different asset classes and oil price implied volatilities are varying over time and fluctuate at very high levels. The dynamic total connectedness ranges between 65% and 85% indicating a high degree of cross-market risk linkages. Furthermore, we find that the oil market is becoming more integrated with the financial markets, since it tends to be materially impacted by abrupt fluctuations of the global financial markets’ volatilities. More specifically, the analysis shows that, throughout the period, OVX is a net receiver of shocks to the remaining implied volatilities. Finally, the net pairwise connectedness measures suggest that OVX is constantly at the net receiving end vis-a-vis the majority of the asset classes’ implied volatilities. Those findings are of major importance for portfolio and risk management in terms of asset allocation and diversification.ElsevierDadun. Depósito Académico Digital Universidad de Navarra20232023-05-2220232023-01-0120232023-01-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/10171/66315reponame:Dadun. Depósito Académico Digital de la Universidad de Navarrainstname:Universidad de NavarraInglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:dadun.unav.edu:10171/663152026-06-21T12:47:57Z
dc.title.none.fl_str_mv Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic
title Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic
spellingShingle Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic
Antonakakis, N. (Nikolaos)|||/items/182198ee-9051-4fb3-bbab-95f164045a06
Dynamic connectedness
Implied volatilities
Oil prices
Financial assets
TVP-VAR
COVID-19
title_short Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic
title_full Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic
title_fullStr Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic
title_full_unstemmed Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic
title_sort Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic
dc.creator.none.fl_str_mv Antonakakis, N. (Nikolaos)|||/items/182198ee-9051-4fb3-bbab-95f164045a06
Cuñado, J. (Juncal)|||/items/2fe461d2-334e-4422-be6b-a8bd73f61e54
Filis, G. (George)|||/items/6aeb6513-8955-4ebe-a3e5-5a237319d2cb
Gabauer, D. (David)|||/items/5ad93f7e-2ebe-46f0-8c46-f1018376b4b3
Pérez-de-Gracia, F. (Fernando)|||/items/617bb85e-6c9e-4cdd-9793-7c2dd7e9ba45
author Antonakakis, N. (Nikolaos)|||/items/182198ee-9051-4fb3-bbab-95f164045a06
author_facet Antonakakis, N. (Nikolaos)|||/items/182198ee-9051-4fb3-bbab-95f164045a06
Cuñado, J. (Juncal)|||/items/2fe461d2-334e-4422-be6b-a8bd73f61e54
Filis, G. (George)|||/items/6aeb6513-8955-4ebe-a3e5-5a237319d2cb
Gabauer, D. (David)|||/items/5ad93f7e-2ebe-46f0-8c46-f1018376b4b3
Pérez-de-Gracia, F. (Fernando)|||/items/617bb85e-6c9e-4cdd-9793-7c2dd7e9ba45
author_role author
author2 Cuñado, J. (Juncal)|||/items/2fe461d2-334e-4422-be6b-a8bd73f61e54
Filis, G. (George)|||/items/6aeb6513-8955-4ebe-a3e5-5a237319d2cb
Gabauer, D. (David)|||/items/5ad93f7e-2ebe-46f0-8c46-f1018376b4b3
Pérez-de-Gracia, F. (Fernando)|||/items/617bb85e-6c9e-4cdd-9793-7c2dd7e9ba45
author2_role author
author
author
author
dc.contributor.none.fl_str_mv Dadun. Depósito Académico Digital Universidad de Navarra
dc.subject.none.fl_str_mv Dynamic connectedness
Implied volatilities
Oil prices
Financial assets
TVP-VAR
COVID-19
topic Dynamic connectedness
Implied volatilities
Oil prices
Financial assets
TVP-VAR
COVID-19
description This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, exchange rates and bond markets). To do so we estimate a recently developed time-varying parameter vector autoregressive (TVP- VAR) connectedness approach using daily data spanning from March 16th, 2011 to March 3rd, 2021 — covering the first year of the COVID-19 pandemic. The empirical results suggest that connectedness across the different asset classes and oil price implied volatilities are varying over time and fluctuate at very high levels. The dynamic total connectedness ranges between 65% and 85% indicating a high degree of cross-market risk linkages. Furthermore, we find that the oil market is becoming more integrated with the financial markets, since it tends to be materially impacted by abrupt fluctuations of the global financial markets’ volatilities. More specifically, the analysis shows that, throughout the period, OVX is a net receiver of shocks to the remaining implied volatilities. Finally, the net pairwise connectedness measures suggest that OVX is constantly at the net receiving end vis-a-vis the majority of the asset classes’ implied volatilities. Those findings are of major importance for portfolio and risk management in terms of asset allocation and diversification.
publishDate 2023
dc.date.none.fl_str_mv 2023
2023-05-22
2023
2023-01-01
2023
2023-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/10171/66315
url https://hdl.handle.net/10171/66315
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Dadun. Depósito Académico Digital de la Universidad de Navarra
instname:Universidad de Navarra
instname_str Universidad de Navarra
reponame_str Dadun. Depósito Académico Digital de la Universidad de Navarra
collection Dadun. Depósito Académico Digital de la Universidad de Navarra
repository.name.fl_str_mv
repository.mail.fl_str_mv
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