Previous studies indicate that the US equity market implied volatility index (VIX) impacts the crude oil market volatility. However, the VIX typically reflects macroeconomic fluctuations, little affected by social media or investor perception changes. In this paper, we use recently introduced news-based equity market volatility (EMV) trackers to examine their impacts on crude oil volatility in its various states and their ability to predict oil volatility relative to that of the VIX. Applying quantile regressions, the results indicate a significant impact of EMV trackers on the oil market volatility during periods of high oil volatility, whereas the impact is mostly insignificant when the oil market is less volatile, which points to an asymmetry. Further analysis shows that various EMV trackers (EMV-overall, EMV-commodity, EMV-crises) have better forecasting power than VIX, economic policy uncertainty (EPU) and geopolitical risk (GPR) indexes. Our findings are relevant to asset pricing, oil portfolio formation, and risk management.

先前的研究表明，美国股票市场的隐含波动率指数（VIX）影响原油市场的波动性。但是，VIX通常反映了宏观经济波动，几乎不受社交媒体或投资者观念变化的影响。在本文中，我们使用最近引入的基于新闻的股票市场波动率（EMV）跟踪器来研究其对各州原油波动率的影响以及相对于VIX预测原油波动率的能力。应用分位数回归，结果表明在高油价波动时期，EMV追踪器对油价市场波动具有重大影响，而当油价市场波动较小时，这种影响几乎没有意义，这表明存在不对称性。进一步的分析表明，各种EMV跟踪器（EMV整体，EMV商品，EMV危机）的预测能力要优于VIX，经济政策不确定性（EPU）和地缘政治风险（GPR）指数。我们的发现与资产定价，石油投资组合形成和风险管理有关。