Downside uncertainty shocks in the oil and gold markets

Cited 6 time in webofscience Cited 4 time in scopus
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dc.contributor.authorRoh, Tai-Yongko
dc.contributor.authorByun, Suk Joonko
dc.contributor.authorXu, Yahuako
dc.date.accessioned2020-03-19T01:23:14Z-
dc.date.available2020-03-19T01:23:14Z-
dc.date.created2020-03-17-
dc.date.created2020-03-17-
dc.date.created2020-03-17-
dc.date.issued2020-03-
dc.identifier.citationINTERNATIONAL REVIEW OF ECONOMICS & FINANCE, v.66, pp.291 - 307-
dc.identifier.issn1059-0560-
dc.identifier.urihttp://hdl.handle.net/10203/272353-
dc.description.abstractWe construct downside variance risk premiums from the crude oil and gold option data and use them as proxies for market downside uncertainty risks. We find that these downside variance risk premiums contain commodity market-specific pricing information. Furthermore, the gold market's exposure to downside uncertainty shocks is cross-sectionally priced in the stock market while its crude oil market counterpart is not. This implies that the downside uncertainty for the gold market may be a key state variable representing investment opportunity sets under the Intertemporal Capital Asset Pricing Model (ICAPM).-
dc.languageEnglish-
dc.publisherELSEVIER-
dc.titleDownside uncertainty shocks in the oil and gold markets-
dc.typeArticle-
dc.identifier.wosid000515425200017-
dc.identifier.scopusid2-s2.0-85076830060-
dc.type.rimsART-
dc.citation.volume66-
dc.citation.beginningpage291-
dc.citation.endingpage307-
dc.citation.publicationnameINTERNATIONAL REVIEW OF ECONOMICS & FINANCE-
dc.identifier.doi10.1016/j.iref.2019.12.003-
dc.contributor.localauthorByun, Suk Joon-
dc.contributor.nonIdAuthorRoh, Tai-Yong-
dc.contributor.nonIdAuthorXu, Yahua-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorCommodity markets-
dc.subject.keywordAuthorDownside uncertainty shocks-
dc.subject.keywordAuthorDownside variance risk premiums-
dc.subject.keywordAuthorPricing implications-
dc.subject.keywordPlusENERGY PRICE-INCREASES-
dc.subject.keywordPlusVARIANCE RISK PREMIA-
dc.subject.keywordPlusSTOCK RETURNS-
dc.subject.keywordPlusSAFE HAVEN-
dc.subject.keywordPlusCOMPETITION-
dc.subject.keywordPlusDOLLAR-
dc.subject.keywordPlusMATTER-
dc.subject.keywordPlusHEDGE-
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