This study investigates the impact of crude oil price innovations on global stock market volatility through a ripple-spreading network model, incorporating four dimensions of crude oil price changes: realized volatility, implied volatility, variance risk premium, and realized skewness volatility. Additionally, we assess the effects of three types of crude oil shocks—oil-specific, aggregate demand, and oil supply shocks. The results indicate that while all four dimensions exhibit similar temporal diffusion patterns, their spatial impacts differ. Global stock markets demonstrate heightened sensitivity to implied volatility and variance risk premium, followed by realized volatility and, lastly, realized skewness volatility. Moreover, we find that realized volatility spreads through multiple transmission pathways, albeit at a slower pace compared to implied volatility and the variance risk premium. Among the crude oil shocks, oil-specific shock induces the most rapid volatility transmission across global markets, with aggregate demand shock following and oil supply shock exerting the smallest influence.

中文翻译：

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原油价格创新对全球股市波动的影响：跨越时间和空间的证据


本研究通过涟漪传播网络模型调查原油价格创新对全球股市波动率的影响，该模型结合了原油价格变化的四个维度：已实现波动率、隐含波动率、方差风险溢价和已实现偏度波动率。此外，我们还评估了三种类型的原油冲击的影响——石油特定冲击、总需求冲击和石油供应冲击。结果表明，虽然所有四个维度都表现出相似的时间扩散模式，但它们的空间影响不同。全球股票市场对隐含波动率和方差风险溢价表现出高度敏感，其次是实际波动率，最后是实际偏度波动率。此外，我们发现，实际波动率通过多种传导途径传播，尽管与隐含波动率和方差风险溢价相比，传播速度较慢。在原油冲击中，石油特异性冲击导致全球市场波动性传导最迅速，总需求冲击紧随其后，石油供应冲击的影响最小。