Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors

Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors

We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account the structural break in June 2009 and controlling for...

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Bibliographic Details
Main Authors: Mohammad Sharik Essa, Evangelos Giouvris
Format: Article
Language:English
Published: MDPI AG 2020-04-01
Series:Journal of Risk and Financial Management
Subjects:
oil price
OVX
illiquidity premiums
US markets
macroeconomic factors
autoregressive distribution lag (ARDL) model
Online Access:https://www.mdpi.com/1911-8074/13/4/70

Internet

https://www.mdpi.com/1911-8074/13/4/70

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