Abstract

AbstractThis study is the first to examine the impacts of overnight and intraday oil futures cross‐market information on predicting the US stock market volatility the high‐frequency data. In‐sample estimations present that high overnight oil futures RV can lead to high RV of the S&P 500. Moreover, negative overnight returns are more powerful than positive components, implying the existence of the leverage effect. From statistical and economic perspectives, out‐of‐sample results indicate that the decompositions of overnight oil futures and intraday RVs, based on signed intraday returns, can significantly increase the models' predictive ability. Finally, when considering the US stock market overnight effect, the decompositions are still useful to predict volatility, especially during high US stock market fluctuations and high and low EPU states.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call