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dc.contributor.advisorPirrong, Craig
dc.creatorEbrahimi, Nima
dc.date.accessioned2019-09-14T23:29:26Z
dc.date.available2019-09-14T23:29:26Z
dc.date.createdMay 2019
dc.date.issued2019-05
dc.date.submittedMay 2019
dc.identifier.urihttps://hdl.handle.net/10657/4650
dc.description.abstractThe effects of oil price risk has always been one of the widely discussed topics in finance and macroeconomics. There is also some recent work which concentrate on the implications of higher moments risk premium in oil market for financial markets. All the previous work on oil risk has concentrated on the normal characteristics of distribution of the returns. The main questions we ask through this thesis is how can we extract and disentangle the normal and non-normal risks in the oil market, using the highly liquid options contracts data available for the oil market. Also, after calculating the premia, we answer to the question of how important these risks are as a driver of the cross-section of stock returns and major macroeconomic indices. Finally, we ask if it is possible to describe the variation in the time-series of these risk premia using some widely-known fundamental factors of oil market (e.g. Supply, Demand and Inventory Growth), macroeconomic factors( e.g. GDP growth, Consumption Growth and Inflation) and geopolitical tension index. The results show that the non-normal characteristics of the distribution (upside and downside jumps) are playing more important role in driving the cross-section of stock returns than the normal characteristics (variance). The second moment risk effect fades after we control for the jumps. Also, we can clearly see that among the risks of upside price jumps and downside price jumps, the upside risk has much more important and robust power as a driver of the cross-section of stock returns. We also show that the upside and downside risk in oil market has higher power in predicting macroeconomic indices and fundamentals of oil market in comparison with variance. We can also verify the results we got using a different approach. We investigate the importance of the risk-neutral moments derived from oil option contracts and we can verify that among the three moments, skewness and kurtosis (non-normal moments) has much stronger and robust implications for the cross-section of stock returns than variance( the normal moment). We also investigate the commodity-specific and macroeconomic determinants of variance and skewness risk premia in the oil market. The results show that macroeconomic variables has more power than commodity-specific variables as determinants of the premia. We can also see that supply shocks from the middle east countries and geopolitical tensions have a considerable power to describe the variation in the premia. While the macroeconomic variables are significant in both cases of variance and skewness,geopolitical tensions is only a significant determinant in the case of skewness risk premium.
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.rightsThe author of this work is the copyright owner. UH Libraries and the Texas Digital Library have their permission to store and provide access to this work. Further transmission, reproduction, or presentation of this work is prohibited except with permission of the author(s).
dc.subjectOil Risk
dc.subjectVariance risk premium
dc.subjectDownside Jump Risk Premium
dc.subjectUpside Jump Risk Premium
dc.titleEssays on Oil Risk and Financial Markets
dc.date.updated2019-09-14T23:29:27Z
dc.type.genreThesis
thesis.degree.nameDoctor of Philosophy
thesis.degree.levelDoctoral
thesis.degree.disciplineBusiness Administration
thesis.degree.grantorUniversity of Houston
thesis.degree.departmentFinance, Department of
dc.contributor.committeeMemberJacobs, Kris
dc.contributor.committeeMemberSusmel, Raul
dc.contributor.committeeMemberPapell, David H.
dc.type.dcmiText
dc.format.digitalOriginborn digital
dc.description.departmentFinance, Department of
thesis.degree.collegeC. T. Bauer College of Business


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