期刊论文

Liang, C

英文

Energy Economics

0140-9883

2024

129

107234

10.1016/j.eneco.2023.107234

CRediT authorship contribution statement Zhifeng Dai: Conceptualization, Data curation, Formal analysis, acquisition, Investigation, Methodology, Writing – original draft, Writing – review & editing. Xiaotong Zhang: Data curation, Methodology, Project administration, Software, Validation, Writing – original draft, Writing – review & editing. Chao Liang: acquisition, Investigation, Project administration, Supervision, Visualization, Writing – review & editing.

本校为第一机构

This paper shows that the panic index shadow line difference (ULD) can be an effective predictor of oil returns. We use a candlestick chart to plot the investor panic index (VIX) and subtract the lower shadow from the upper shadow to obtain ULD. The in-sample analysis shows that the ULD can significantly and negatively predict oil returns. The out-of-sample results show that the inclusion of ULD, an exogenous regression variable, in the model not only substantially improves the predictive accuracy of oil returns, but also yields good economic benefits when using its predicted values for portfo...