Measuring the Oil Risk Effect on Industry Volatility Shocks

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dc.contributor.author Ben Sita, Bernard
dc.date.accessioned 2017-07-21T10:13:20Z
dc.date.available 2017-07-21T10:13:20Z
dc.date.issued 2017-07-21
dc.identifier.uri http://hdl.handle.net/10725/5943 en_US
dc.description.abstract I examine the information sequential hypothesis in complementary oil markets. Unlike the underreaction hypothesis suggested as an explanation to the lagged negative oil effect of financial return, a sequential information schedule through crude oil and gasoline provides a differential dynamic in the way oil risk is channeled to financial markets. Not only do I find that the market response to oil volatility risk is contemporaneous, but that crude oil triggers financial risk at the time of information, whereas gasoline effects of financial risk are subsequent to crude oil effects. en_US
dc.language.iso en en_US
dc.title Measuring the Oil Risk Effect on Industry Volatility Shocks en_US
dc.type Conference Paper / Proceeding en_US
dc.author.school SOB en_US
dc.author.idnumber 200603722 en_US
dc.author.department Department of Finance and Accounting (FINA) en_US
dc.description.embargo N/A en_US
dc.keywords Crude Oil Market en_US
dc.keywords Gasoline Market en_US
dc.keywords Industry Volatility en_US
dc.keywords Sequential en_US
dc.identifier.doi http://dx.doi.org/10.2139/ssrn.2157653 en_US
dc.identifier.ctation Ben Sita, B. (2016). Measuring the oil risk effect on industry volatility shocks. . en_US
dc.author.email bernard.bensita@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url http://www.talkmarkets.com/content/commodities/measuring-the-oil-risk-effect-on-industry-volatility-shocks?post=83538 en_US
dc.publication.date 2016 en_US
dc.author.affiliation Lebanese American University en_US

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