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Intraday volatility interaction between the crude oil and equity markets

Phan, Dinh H. B., Sharma, Susan S. and Narayan, P. K. 2016, Intraday volatility interaction between the crude oil and equity markets, Journal of international financial markets, institutions and money, vol. 40, pp. 1-13, doi: 10.1016/j.intfin.2015.07.007.

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Title Intraday volatility interaction between the crude oil and equity markets
Author(s) Phan, Dinh H. B.
Sharma, Susan S.
Narayan, P. K.
Journal name Journal of international financial markets, institutions and money
Volume number 40
Start page 1
End page 13
Total pages 13
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016-01
ISSN 1042-4431
Keyword(s) Bid-ask spread
Cross-market
Forecasting
Predictability
Trading volume
Volatility
Summary 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.
Language eng
DOI 10.1016/j.intfin.2015.07.007
Field of Research 150202 Financial Econometrics
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078418

Document type: Journal Article
Collection: Department of Economics
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Created: Thu, 24 Sep 2015, 10:32:06 EST

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