Work

Time-varying risk aversion and ‘investor fear’: Evidence from the crude oil markets

Year: 2026

Type: article

Abstract: Analysis of time-varying risk aversion and its relationship with investor fear in the crude oil markets, remains under-explored in the literature. This paper examines such issues where we find that risk aversion towards oil markets exhibits a counter-cyclical moving pattern. The oil volatility index (OVX), a measure of investor fear, plays a dominant role in the static and time-varying mean spillovers with risk aversion. OVX is an information transmitter supporting risk aversion in some crucial oil markets in terms of the static and dynamic volatility spillovers. The findings suggest that oil risk aversion is driven by OVX across time.

Source: International Review of Economics & Finance

DOI: 10.1016/j.iref.2026.105017

Authors: Yang (Greg) Hou, Yang Hu, Les Oxley, John W. Goodell

Institutions: University of Waikato, University of Akron

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $1,930

OpenAlex ID: W7128711430

FWCI: 7.077

Cites: 57

Cited by: 1

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