Intraday volatility interaction between the crude oil and equity markets
Data(s) |
01/01/2016
|
---|---|
Resumo |
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. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30078418/narayan-intradayvolatility-2016.pdf http://dro.deakin.edu.au/eserv/DU:30078418/narayan-intradayvolatility-inpress-2015.pdf http://doi.org/10.1016/j.intfin.2015.07.007 |
Direitos |
2016, Elsevier |
Palavras-Chave | #Bid-ask spread #Cross-market #Forecasting #Predictability #Trading volume #Volatility |
Tipo |
Journal Article |