JOURNAL OF EMPIRICAL FINANCE🧭，VOL47 ,JUNE 2018

石油和股票收益波动的短期可预测性

作者✭：Yudong Wang (Nanjing University of Science and Technology)

Yu Wei (Yunnan University of Finance and Economics)

Chongfeng Wu (Shanghai Jiao Tong University)

Libo Yin (Central University of Finance and Economics)

摘要：本文的目的是要表明原油波动性在样本内和样本外能够预测短期内的股票波动性。对基于石油价格预测的股票波动性所构建的投资组合的表现进行检验，发现这种预测性在经济意义上是显著的。稳健性检验的结果表明石油波动性提供了与传统宏观变量不同的信息。进一步分析表明🔔，简单的线性回归足以捕捉石油和股票波动之间的预测关系🤸🏿‍♀️。本文发现石油波动率可以预测近期大量行业投资组合的回报波动性💃🏿🐡。

关键词：原油波动率，股票波动率🫧，预测回归🫨，样本表现，经济意义

Oil and the Short-Term Predictability of Stock Return Volatility

Yudong Wang (Nanjing University of Science and Technology), Yu Wei (Yunnan University of Finance and Economics), Chongfeng Wu (Shanghai Jiao Tong University), Libo Yin (Central University of Finance and Economics)

ABSTRACT

The goal of this paper is to show that crude oil volatility is predictive of stock volatility in the short-term from both in-sample and out-of-sample perspectives. The revealed predictability is also of economic significance, as shown by examining the performance of portfolios constructed on the oil-based forecasts of stock volatility. Results from robustness tests suggest that oil volatility provides different information from traditional macro variables. Further analysis shows that simple linear regression is sufficient for capturing predictive relationships between oil and stock volatility. Oil volatility is found to predict return volatilities of a significant number of industry portfolios during recent periods.

Keywords: Crude Oil Volatility, Stock Volatility, Predictive Regression, Out-of-Sample Performance, Economic Significance

原文链接：

https://www.sciencedirect.com/science/article/abs/pii/S0927539818300240

翻译：王秭越