Impact of crude oil volatility jumps on sustainable investments : Evidence from India

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annif.suggestionssustainable development|investments|oil|security market|environmental effects|energy policy|investors|volatility (societal properties)|green economy|India|enen
annif.suggestions.linkshttp://www.yso.fi/onto/yso/p8470|http://www.yso.fi/onto/yso/p4320|http://www.yso.fi/onto/yso/p5799|http://www.yso.fi/onto/yso/p12456|http://www.yso.fi/onto/yso/p9862|http://www.yso.fi/onto/yso/p2387|http://www.yso.fi/onto/yso/p18430|http://www.yso.fi/onto/yso/p10771|http://www.yso.fi/onto/yso/p27123|http://www.yso.fi/onto/yso/p105027en
dc.contributor.authorDutta, Anupam
dc.contributor.authorKanjilal, Kakali
dc.contributor.authorGhosh, Sajal
dc.contributor.authorPark, Donghyun
dc.contributor.authorUddin, Gazi Salah
dc.contributor.departmentDigital Economy-
dc.contributor.facultyfi=Laskentatoimen ja rahoituksen yksikkö|en=School of Accounting and Finance|-
dc.contributor.orcidhttps://orcid.org/0000-0003-4971-3258-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2023-11-21T06:53:35Z
dc.date.accessioned2025-06-25T13:03:31Z
dc.date.available2023-11-21T06:53:35Z
dc.date.issued2023-06-22
dc.description.abstractThis study examines the impact of crude oil volatility jumps on the realized volatility (RV) of green and dirty stocks in India. In doing so, we first estimate the time-varying jumps in oil market implied volatility index (OVX) and then augment the heterogeneous autoregressive (HAR) process with the information on such jumps. Our sample runs from December 2012 to April 2022, which includes 2328 data points. Comparing a range of HAR-type models, we find that crude oil volatility jumps provide additional information, which is not contained even in the OVX index itself. In particular, the HAR–RV model that considers both leverage effects and the information on volatility jumps produces superior forecasts compared with the existing approaches. The economic significance of these results is also supported by a simple value-at-risk analysis.-
dc.description.notification© 2023 The Authors. The Journal of Futures Markets published by Wiley Periodicals LLC. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent19-
dc.format.pagerange1450-1468-
dc.identifier.olddbid19344
dc.identifier.oldhandle10024/16436
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/1422
dc.identifier.urnURN:NBN:fi-fe20231121147959-
dc.language.isoeng-
dc.publisherJohn Wiley & Sons-
dc.relation.doi10.1002/fut.22442-
dc.relation.ispartofjournalJournal of Futures Markets-
dc.relation.issn1096-9934-
dc.relation.issn0270-7314-
dc.relation.issue10-
dc.relation.urlhttps://doi.org/10.1002/fut.22442-
dc.relation.volume43-
dc.rightsCC BY 4.0-
dc.source.identifierWOS:001013919000001-
dc.source.identifierScopus:85162624634-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/16436
dc.subjectcrude oil volatility jumps-
dc.subjectdirty stocks-
dc.subjectgreen stocks-
dc.subjectHAR models-
dc.subjectsustainable investing-
dc.subject.disciplinefi=Laskentatoimi ja rahoitus|en=Accounting and Finance|-
dc.subject.ysoIndia-
dc.titleImpact of crude oil volatility jumps on sustainable investments : Evidence from India-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionpublishedVersion-

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