The lead of oil price rises on US equity market beliefs and preferences

Dark, Jonathan

doi:10.1002/fut.22247

Cited by 3 publications

(2 citation statements)

References 83 publications

(169 reference statements)

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Section: Empirical Analysismentioning

confidence: 99%

“…From Figure 4, good volatility spillovers exceed bad volatility spillovers in the intraday trading session, while spillovers are dominated by bad volatility in the overnight trading session. Oil prices affect market beliefs and preferences (Dark, 2021), and according to Wang and Wu (2018), SAM can well detect whether the market is in an optimistic or pessimistic mood and what their expectations are. The asymmetry of stock market spillover to the crude oil market is evident throughout the sample period, with negative SAM values for most of the intraday period and positive SAM values for the overnight period.…”

Section: Rolling Window Analysismentioning

confidence: 99%

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Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions

Hao

et al. 2023

Journal of Futures Markets

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We investigate the volatility spillover between the crude oil (West Texas Intermediate) and G7 countries' equity markets with high‐frequency data. Considering the trading period difference among different countries, the volatility spillover of oil market intraday and overnight sessions is studied with G7 countries, respectively. The empirical findings suggest that the US stock market dominates intraday volatility spillover to the oil market, while the European and Asian stock markets dominate overnight spillovers. The asymmetric spillover result shows that stock markets mainly spillover bad volatility to the oil market in the intraday trading session, and spillover good volatility to the oil market in the overnight trading session. Our results provide empirical evidence that crude oil market overnight trading information is also important for understanding information diffusion and volatility forecasting.

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Section: Empirical Analysismentioning

confidence: 99%

Section: Rolling Window Analysismentioning

confidence: 99%

Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions

Hao

et al. 2023

Journal of Futures Markets

View full text Add to dashboard Cite

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Do oil shocks impact stock liquidity?

Zhang

Wong

2021

Journal of Futures Markets

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This paper investigates the impact of oil shocks on the stock liquidity of US listed companies. Using high frequency tick-by-tick intraday data and an innovative method to derive oil demand and supply shocks, we find evidence that differentiated oil shocks have distinctive influence on stock liquidity. Specifically, oil shocks driven by demand lower stock liquidity, whereas oil supply shocks have the opposite effect. Generally large corporations are more affected by oil demand and supply shocks. Further analysis reveals that oil, oilrelated, oil-user and the broad market categories are most affected by oil shocks, but the effects on oil-substitutes are minimum.

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