This paper documents that option-implied oil price volatility measured by CBOE Crude Oil Volatility Index (OVX) can significantly and positively forecast future returns of stocks along the worldwide crude oil supply chain. The portfolio investment exercise also confirms that this predictive model can produce positive economic gains, especially for the supplier-side stock asset allocation. The return predictability holds under a series of robustness checks and extensive tests, including multiple digesting sources, business cycles or market conditions, different predictive measures, longer horizons, and the non-linear dependence structure. Our findings suggest that oil implied volatility plays a nonnegligible role in the cross-asset market timing when investors make decisions with supply-chain-related equities in multiple countries.

本文记录了由 CBOE 原油波动率指数 (OVX) 衡量的期权隐含油价波动率可以显着且积极地预测全球原油供应链中股票的未来回报。证券投资实践也证实了这种预测模型可以产生积极的经济收益，特别是对于供应商侧的股票资产配置。收益可预测性在一系列稳健性检查和广泛测试下成立，包括多个消化来源、商业周期或市场条件、不同的预测措施、更长的视野和非线性依赖结构。我们的研究结果表明，当投资者对多个国家的供应链相关股票做出决策时，石油隐含波动率在跨资产市场时机中发挥着不可忽视的作用。