Artikel
The skewness risk in the energy market
In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often used to measure the possibility of market crash. We study both physical skewness (market skewness and cross-sectional average realized skewness) estimated from underlying stock returns and risk-neutral skewness evaluated from the options market. We find a significant positive relationship between one-month-ahead market return and average realized skewness in the energy market. This unique feature should be noted by investors and carefully considered by energy policymakers.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 12 ; Pages: 1-24 ; Basel: MDPI
- Classification
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Forecasting and Simulation
- Subject
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realized skewness
nonparametric risk-neutral skewness
return predictability
- Event
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Geistige Schöpfung
- (who)
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Yoon, Jungah
Ruan, Xinfeng
Zhang, Jin E.
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2021
- DOI
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doi:10.3390/jrfm14120620
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Yoon, Jungah
- Ruan, Xinfeng
- Zhang, Jin E.
- MDPI
Time of origin
- 2021
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