Price Discovery in a Financialized Oil Market
研究发现原油期货和现货价格与九家石油公司股票日收益率之间存在双向因果关系，表明金融化扩大了原油价格发现，且该效应随持有原油的便利收益变化而波动。
We postulate that financialization expands price discovery for crude oil and test this hypothesis by examining causal relations between daily returns to prices for crude oil and stocks of nine oil companies. We find that daily returns to stocks of oil companies ‘Granger cause’ daily returns to the price of crude oil ( <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" overflow="scroll"> <mml:mrow> <mml:mi>Stock</mml:mi> <mml:mspace width="0.25em"/> <mml:mo>→</mml:mo> <mml:mi>Price</mml:mi> </mml:mrow> </mml:math> ), which indicates that stock returns have information about future and spot prices beyond variables that represent market fundamentals and financial conditions. This result suggests that financialization expands price discovery for crude oil beyond market fundamentals. We also find that returns to futures and spot prices for crude oil ‘Granger cause’ returns to oil companies ( <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" overflow="scroll"> <mml:mrow> <mml:mi>Price</mml:mi> <mml:mspace width="0.25em"/> <mml:mo>→</mml:mo> <mml:mi>Stock</mml:mi> <mml:mo stretchy="false">)</mml:mo> </mml:mrow> </mml:math> . This extends previous results that returns to oil prices correlate with the profitability of oil companies, which drive returns to oil companies. Furthermore, we find that strength of financialization changes over time due to changes in the returns to holding oil as a commodity, which we proxy by convenience yields. Both the <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" overflow="scroll"> <mml:mrow> <mml:mi>Stock</mml:mi> <mml:mo>→</mml:mo> <mml:mi>Price</mml:mi> </mml:mrow> </mml:math> and the <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" overflow="scroll"> <mml:mrow> <mml:mi>Price</mml:mi> <mml:mo>→</mml:mo> <mml:mi>Stock</mml:mi> </mml:mrow> </mml:math> causal relations weaken when convenience yields are high, which suggests that higher returns to holding crude oil as a commodity weaken the relative importance of financialization. Finally, a <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" overflow="scroll"> <mml:mrow> <mml:mi>Stock</mml:mi> <mml:mo>↔</mml:mo> <mml:mi>Price</mml:mi> </mml:mrow> </mml:math> bidirectional causal relation may allow institutional investors to influence the transition from oil and may allow the Federal Reserve Board of Governors to dampen inflation with smaller interest rate hikes.