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Does oil price vola...
Does oil price volatility matter for the US transportation industry?
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- Dutta, Anupam (author)
- Univ Vaasa, Finland
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- Bouri, Elie (author)
- Lebanese Amer Univ, Lebanon; Kyung Hee Univ, South Korea
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- Rothovius, Timo (author)
- Univ Vaasa, Finland
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- Azoury, Nehme (author)
- Holy Spirit Univ Kaslik, Lebanon
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- Uddin, Gazi Salah (author)
- Linköpings universitet,Nationalekonomi,Filosofiska fakulteten
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(creator_code:org_t)
- 2024
- 2024
- English.
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In: Energy. - : PERGAMON-ELSEVIER SCIENCE LTD. - 0360-5442 .- 1873-6785. ; 290
- Related links:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Subject headings
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- Although the US transport sector is one of the major users of fossil fuel (e.g., crude oil), the impact of energy price volatility on transport stock sector indexes remains under-researched. The present study addresses this research void by investigating the impact of energy implied volatility on transportation stock returns in the US. Using the crude oil volatility index (OVX), as a proxy of energy price volatility, and three Dow Jones indexes tracking the performance of the airlines, marine and trucking stock subsectors, we employ a GARCH-jump model. The main results show that the oil market sends volatility to the US transport subsector stock indexes, suggesting that oil implied volatility plays a role in pricing US transport stocks. The impact of OVX shocks is asymmetric, indicating that increases and decreases in oil implied volatility have a heterogeneous impact on the transport subsector stock markets. Jumps are significant in the three transport subsector stock indexes, and are time-dependent. Notably, the three transportation subsector stock indexes are more sensitive to OVX shocks than the S&P 500 index. These results have important implications for investors, policymakers, academics, and managers of the US transportation industry.
Subject headings
- TEKNIK OCH TEKNOLOGIER -- Naturresursteknik -- Energisystem (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Environmental Engineering -- Energy Systems (hsv//eng)
Keyword
- US transport sector returns; Oil implied volatility (OVX); COVID-19 outbreak; GARCH-Jump; Asymmetric effect
Publication and Content Type
- ref (subject category)
- art (subject category)
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