原油波動率指數變動率與原油期貨報酬率之關聯性

Relationship between Percentage Changes in Crude Oil Volatility Index and Returns of Crude Oil Futures

10.7086/TJAE.202406_(115).0005

江嘉瑜(Chia-Yu Chiang)；林丙輝(Bing-Huei Lin)；林月能(Yueh-Neng Lin)

原油市場 ； 原油波動率指數 ； 原油期貨報酬率 ； 回饋效果假說 ； OPEC新聞宣告 ； Crude Oil Market ； Crude Oil Volatility Index ； Crude Oil Futures Returns ； Feedback Effect Hypothesis ； OPEC News Announcement

應用經濟論叢

115期（2024 / 06 / 01）

217 - 277

繁體中文;英文

本研究分析了自2007年5月11日至2023年11月15日期間，原油市場波動率指數與原油期貨報酬率之間的相互關係。實證結果顯示，原油波動率指數的變動率與原油期貨報酬率呈現顯著的負向關係。透過因果關係檢定及分析衝擊反應函數圖形，本文發現當原油波動率指數變動率發生波動時，會顯著地影響原油期貨報酬率，因此本文實證結果支持回饋效果假說（Feedback Effect Hypothesis）。在納入控制變數並經過穩健性檢驗後，這些結果仍然保持不變。有趣的是，本研究發現當石油輸出國組織（OPEC）宣告減產或增產協議時，會產生更為顯著的遞延性回饋效果。

This study reports a negative relationship between the volatility index of the crude oil market and the returns of crude oil futures from May 11, 2007, to November 15, 2023. This result was corroborated in causality tests and an analysis of impulse response function graphs. This finding supports the Feedback Effect Hypothesis. This result held even after control variables were included and robustness checks were conducted. Notably, the study identified a more pronounced deferred feedback effect following announcements by the Organization of the Petroleum Exporting Countries on changes in production quotas.

1. Aboura, S. and J. Chevallier, 2013, “Leverage vs. Feedback: Which Effect Drives the Oil Market?”, Finance Research Letters, 10: 131-141.
   連結：
2. Agbeyegbe, T. D., 2015, “An Inverted U-Shaped Crude Oil Price Return-Implied Volatility Relationship”, Review of Financial Economics, 27: 28-45.
   連結：
3. Bekaert, G. and G. Wu, 2000, “Asymmetric Volatility and Risk in Equity Markets”, Review of Financial Studies, 13: 1-42.
   連結：
4. Bina, C. and M. Vo, 2007, “OPEC in the Epoch of Globalization: An Event Study of Global Oil Prices”, Global Economy Journal, 7: 1850102.
   連結：
5. Black, F., 1976, “Studies in Stock Price Volatility Changes”, in Proceedings of the Business and Economic Statistics Section, American Statistical Association, Washington DC.
   連結：
6. Brunetti, C., B. Büyükşahin, M. A. Robe, and K. R. Soneson, 2010, “Do OPEC Members Know Something the Market Doesn’t? ‘Fair Price’ Pronouncements and the Market Price of Crude Oil”, SSRN Working Paper, No. 1652834.
   連結：
7. Campbell, J. Y. and L. Hentchel, 1992, “No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns”, Journal of Financial Economics, 31: 281-318.
   連結：
8. Chen, Y., K. He, and L. Yu, 2015, “The Information Content of OVX for Crude Oil Returns Analysis and Risk Measurement: Evidence from the Kalman Filter Model”, Annals of Data Science, 2: 471-487.
   連結：
9. Christie, A. A., 1982, “The Stochastic Behavior of Common Stock Variances – Value, Leverage, and Interest Rate Effects”, Journal of Financial Economic Theory, 10: 407-432.
   連結：
10. Demirer, R. and A. M. Kutan, 2010, “The Behavior of Crude Oil Spot and Futures Prices around OPEC and SPR Announcements: An Event Study Perspective”, Energy Economics, 32: 1467-1476.
    連結：
11. Fattouh, B., 2005, “The Causes of Crude Oil Price Volatility”, Middle East Economic Survey, XLVIII, No. 13.
    連結：
12. Granger, C. W. and P. Newbold, 1974, “Spurious Regressions in Econometrics”, Journal of Econometrics, 2: 111-120. Gülen, S. G., 1996, “Is OPEC a Cartel? Evidence from Cointegration and Causality Tests”, Energy Journal, 17: 43-57.
    連結：
13. Ji, Q. and Y. Fan, 2016, “Modelling the Joint Dynamics of Oil Prices and Investor Fear Gauge”, Research in International Business and Finance, 37: 242-251.
    連結：
14. Kaufmann, R. K., S. Dees, P. Karadeloglou, and M. Sanchez, 2004, “Does OPEC Matter? An Econometric Analysis of Oil Prices”, Energy Journal, 25: 67-90.
    連結：
15. Lin, S. X. and M. Tamvakis, 2010, “OPEC Announcements and their Effects on Crude Oil Prices”, Energy Policy, 38: 1010-1016.
    連結：
16. Liu, B. Y., Q. Ji, and Y. Fan, 2017, “Dynamic Return-Volatility Dependence and Risk Measure of CoVaR in the Oil Market: A Time-Varying Mixed Copula Model”, Energy Economics, 68: 53-65.
    連結：
17. Loderer, C., 1985, “A Test of the OPEC Cartel Hypothesis: 1974–1983”, Journal of Finance, 40: 991-1006.
    連結：
18. Loutia, A., C. Mellios, and K. Andriosopoulos, 2016, “Do OPEC Announcements Influence Oil Prices?”, Energy Policy, 90: 262-272.
    連結：
19. Mensi, W., S. Hammoudeh, and S. M. Yoon, 2014, “How Do OPEC News and Structural Breaks Impact Returns and Volatility in Crude Oil Markets? Further Evidence from a Long Memory Process”, Energy Economics, 42: 343-354.
    連結：
20. Sari, R., S. Hammoudeh, and U. Soytas, 2010, “Dynamics of Oil Price, Precious Metal Prices, and Exchange Rate”, Energy Economics, 32: 351-362.
    連結：
21. Schmidbauer, H. and A. Rösch, 2012, “OPEC News Announcements: Effects on Oil Price Expectation and Volatility”, Energy Economics, 34: 1656-1663.
    連結：
22. Sims, C. A., 1980, “Macroeconomics and Reality”, Econometrica, 48: 1-48.
    連結：
23. Wang, T., J. Wu, and J. Yang, 2008, “Realized Volatility and Correlation in Energy Futures Markets”, Journal of Futures Markets: Futures, Options, and Other Derivative Products, 28: 993-1011.
    連結：