Özet:

Abstract We investigate the multi-scale information transmission between two implied volatilities in the energy markets (crude oil volatility and volatility in the energy market) and energy commodities returns (global energy commodity, brent, heating oil, natural gas and petroleum). The Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) based Rényi transfer entropy approach is employed to accomplish the research objective. The study’s outcome underscores that information flow between implied volatilities and energy commodities is negative with significance being scale-dependent. Especially, significant negative information flow is found at specific intrinsic mode functions (IMFs) such as IMF1, and from IMFs 6-9 suggesting short-, upper medium and long-term energy markets dynamics. Comparatively, we find profound negative information flow with the crude oil implied volatility than the volatility in the entire energy market implying the former’s strong hedging benefits. Investors and policymakers should have knowledge about the dynamics of implied volatilities, particularly, the crude oil implied volatility when designing strategies for the energy commodities markets. Downloads Download data is not yet available. Downloads FULL TEXT Published 2022-09-27 How to Cite Qabhobho, T., Asafo-Adjei, E., Owusu Junior, P., & Adam, A. M. (2022). Quantifying information transfer between Commodities and Implied Volatilities in the Energy Markets: A Multi-frequency Approach . International Journal of Energy Economics and Policy, 12(5), 472–481. https://doi.org/10.32479/ijeep.13403 More Citation Formats ACM ACS APA ABNT Chicago Harvard IEEE MLA Turabian Vancouver Download Citation Endnote/Zotero/Mendeley (RIS) BibTeX Issue Vol. 12 No. 5 (2022) Section Articles License Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication. Most read articles by the same author(s) Thobekile Qabhobho, Anokye M. Adam, Anthony Adu-Asare Idun, Emmanuel Asafo-Adjei, Ebenezer Boateng, Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities , International Journal of Energy Economics and Policy: Vol. 13 No. 2 (2023) Thobekile Qabhobho, Assessing the Asymmetric Effect of Local Realized Exchange Rate Volatility and Implied Volatilities in Energy Market on Exchange Rate Returns in BRICS , International Journal of Energy Economics and Policy: Vol. 13 No. 2 (2023) Make a Submission Make a Submission Dergi Kapağı

Anahtar Kelimeler: