The EIA WPSR release, OVX and crude oil internet interest
| Autor: | Jussi Nikkinen, Timo Rothovius |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
General interest
Stock market volatility 020209 energy 02 engineering and technology Industrial and Manufacturing Engineering Value of information chemistry.chemical_compound 020401 chemical engineering 0202 electrical engineering electronic engineering information engineering Econometrics 0204 chemical engineering Electrical and Electronic Engineering ta512 Civil and Structural Engineering business.industry Mechanical Engineering Building and Construction Crude oil Pollution Low demand General Energy chemistry Petroleum The Internet Volatility (finance) business |
| Zdroj: | Energy. 166:131-141 |
| ISSN: | 0360-5442 |
| DOI: | 10.1016/j.energy.2018.10.061 |
| Popis: | The purpose of this study is to examine the impact of the EIA Weekly Petroleum Status Report (WPSR) release on the implied crude oil volatility (OVX) during high and low demand for information, measured using internet interest in crude oil. We hypothesize that the OVX decreases after the EIA WPSR release, and even more importantly, that the magnitude of the effect depends on the internet interest in crude oil. To test the hypotheses, we apply VARX-DCC-GARCH on the OVX and implied stock market volatility (VIX) indexes, where EIA WPSR release dates are considered an exogenous variable, and internet search volumes an indicator for the general interest in crude oil. We find not only that the OVX decreases after the EIA WPSR release but, that the magnitude of the effect depends on the internet interest in crude oil, as hypothesized. Thus, we show empirically how the value of information depends on the demand for the information. When it is high, it is more valuable in assessing the anticipated risk involved in the asset. More specifically, our results imply that the EIA WPSR contains relevant risk-related information, which is even more valuable during the times of high interest in crude oil. |
| Databáze: | OpenAIRE |
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