Equity Market Capital Gains Overhang and Crude Oil Volatility Forecasting: A Cross‐Market Analysis
研究了股票市场资本利得悬置（CGO）对原油波动率的预测能力，发现标普500 CGO负向预测WTI和布伦特原油波动率，且预测效果稳健。
ABSTRACT This study investigates whether equity market Capital Gains Overhang (CGO) contains predictive information for crude oil volatility. Using data from January 2000 to December 2024, we document that S&P 500 CGO negatively predicts volatility in both WTI and Brent crude oil markets, demonstrating international cross‐market predictability. Higher CGO values, reflecting substantial unrealized gains among equity investors, are associated with significantly lower subsequent oil volatility. Comprehensive out‐of‐sample tests show that CGO‐augmented models substantially outperform autoregressive benchmarks across multiple evaluation periods. The forecasting improvements remain significant after controlling for traditional macroeconomic predictors and prove robust to alternative specifications. The predictive power persists in regime‐switching frameworks, with CGO enhancing both regime. Our findings highlight the importance of international cross‐market behavioral linkages for volatility forecasting and risk management in energy markets.