Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7364591 | Journal of International Financial Markets, Institutions and Money | 2016 | 13 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Dinh Hoang Bach Phan, Susan Sunila Sharma, Paresh Kumar Narayan,