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- W2964808123 abstract "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." @default.
- W2964808123 created "2019-08-13" @default.
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- W2964808123 date "2019-08-02" @default.
- W2964808123 modified "2023-09-25" @default.
- W2964808123 title "The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment" @default.
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- W2964808123 doi "https://doi.org/10.3390/en12152982" @default.
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