Intraday volatility interaction between the crude oil and equity markets

Dinh Phan (), Susan Sharma and Paresh Narayan ()

Journal of International Financial Markets, Institutions and Money, 2016, vol. 40, issue C, 1-13

Abstract: This paper investigates the price volatility interaction between the crude oil and equity markets in the US using 5-min data over the period 2009–2012. Our main findings can be summarised as follows. First, we find strong evidence to demonstrate that the integration of the bid–ask spread and trading volume factors leads to a better performance in predicting price volatility. Second, trading information, such as bid–ask spread, trading volume, and the price volatility from cross-markets, improves the price volatility predictability for both in-sample and out-of-sample analyses. Third, the trading strategy based on the predictive regression model that includes trading information from both markets provides significant utility gains to mean-variance investors.

Keywords: Volatility; Trading volume; Bid–ask spread; Cross-market; Predictability; Forecasting (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (75)

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Working Paper: Intraday volatility interaction between the crude oil and equity markets (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:40:y:2016:i:c:p:1-13

DOI: 10.1016/j.intfin.2015.07.007

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