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

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  • Jing Hao
  • Feng He
  • Feng Ma
  • Tong Fu

Abstract

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.

Suggested Citation

  • Jing Hao & Feng He & Feng Ma & Tong Fu, 2023. "Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 771-791, June.
    • Handle: RePEc:wly:jfutmk:v:43:y:2023:i:6:p:771-791
    DOI: 10.1002/fut.22410
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