IDEAS home Printed from https://ideas.repec.org/p/hal/journl/halshs-04250313.html
   My bibliography  Save this paper

A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information

Author

Listed:
  • Feng Ma
  • M. Wahab
  • Julien Chevallier

    (LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis)

  • Ziyang Li

Abstract

This 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.

Suggested Citation

  • Feng Ma & M. Wahab & Julien Chevallier & Ziyang Li, 2023. "A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information," Post-Print halshs-04250313, HAL.
    • Handle: RePEc:hal:journl:halshs-04250313
    DOI: 10.1002/for.2903
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-04250313. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.