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Oil price, oil price implied volatility (OVX) and illiquidity premiums in the US : (a)symmetry and the impact of macroeconomic factors
Essa, Mohammad Sharik; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 13 (2020) 4/70, pp. 1-40
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...
Persistent link: https://www.econbiz.de/10012302569
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Oil, the Baltic Dry index, market (il)liquidity and business cycles : evidence from net oil-exporting/oil-importing countries
Said, Husaini; Giouvris, Evangelos - In: Financial markets and portfolio management 33 (2019) 4, pp. 349-416
Persistent link: https://www.econbiz.de/10012427801
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The impact of oil price and oil volatility index (OVX) on the exchange rate in sub-Saharan Africa : evidence from oil importing/exporting countries
Korley, Maud; Giouvris, Evangelos - In: Economies : open access journal 10 (2022) 11, pp. 1-29
The Theory demonstrates that oil price and oil volatility (OVX) are significant determinants of economic activity; however, studies seldom consider both variables in the oil-exchange rate nexus and ignore the distributional heterogeneity of the exchange rate. We investigate their joint effect...
Persistent link: https://www.econbiz.de/10013499510
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The Impact of Oil Price and Oil Volatility Index (OVX) on the Exchange Rate in Sub-Saharan Africa : Evidence from Oil Importing/Exporting Countries
Korley, Maud; Giouvris, Evangelos - 2023
The Theory demonstrates that oil price and oil volatility (OVX) are significant determinants of economic activity; however, studies seldom consider both variables in the oil–exchange rate nexus and ignore the distributional heterogeneity of the exchange rate. We investigate their joint effect...
Persistent link: https://www.econbiz.de/10014257938
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Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US : (A)symmetry and the Impact of Macroeconomic Factors
Essa, Mohammad Sharik; Giouvris, Evangelos - 2023
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...
Persistent link: https://www.econbiz.de/10014262061