31 Pages Posted: 24 Nov 2015 Last revised: 29 Jul 2017
Date Written: July 5, 2017
We proxy uncertainty in the stock, oil and gold markets with the variance risk premia, extracted from futures and option contracts. We observe that an independent increase in the stock, oil or gold markets uncertainty coincides with negative returns in different industries. However, only the stock market uncertainty is a systematic priced factor in the entire cross section of stocks' expected returns. The oil price uncertainty is a sector-specific factor, and due to the industry segmentation of the market, it is only priced within oil-relevant industries. Gold price uncertainty is an asset-specific factor that is neither priced across nor within industries.
Keywords: Uncertainty, Volatility Risk Premium, Stock Market, Oil, Gold, Oil-relevant Industry, Market Segmentation
JEL Classification: G10, G12, G13
Suggested Citation: Suggested Citation
Bams, Dennis and Blanchard, Gildas and Honarvar, Iman and Lehnert, Thorsten, Does Oil and Gold Price Uncertainty Matter for the Stock Market? (July 5, 2017). Journal of Empirical Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2692987 or http://dx.doi.org/10.2139/ssrn.2692987