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The role of oil futures intraday information on predicting US stock market volatility

Journal of Management Science and Engineering 2021年第1期6卷 64-74页

作者： Yusui Tang Xiao Xiao M.I.M.Wahab Feng Ma School of Economics&Management Southwest Jiaotong UniversityChengduChina Department of Mechanical and Industrial Engineering Ryerson UniversityTorontoCanada

This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR ***-sample results indicate that oil futures intraday information is helpful to increase the ***,compared to the benchmark model,the proposed models improve their predictive ability with the help of oil futures realized *** particular,the multivariate HAR model outperforms the univariate ***,considering the contemporaneous connection is useful to predict the US stock market ***,these findings are consistent across a variety of robust checks.

关键词： Volatility forecasting The US stock Market Oil market volatility Realized volatility dcc model

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Intraday Volatility Spillover between the Shanghai and Hong Kong Stock Markets—Evidence from A+H Shares after the Launch of the Shanghai-Hong Kong Stock Connect

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Journal of Management Science and Engineering 2017年第4期2卷 290-317页

作者： Yajing Xu Saiping Li Xiong Xiong Fei Ren School of Business East China University of Science and TechnologyShanghai 200237China Institute of Physics Academia SinicaTaipei 115TaiwanChina The College of Management and Economics Tianjin UniversityTianjin 300072China China Center for Social Computing and Analytics Tianjin UniversityTianjin 300072China Research Center for Econophysics East China University of Science and TechnologyShanghai 200237China

Using minute data of eligible A+H stocks under the Shanghai-Hong Kong Stock Connect(SHHKSC),we investigate the volatility spillover between the Shanghai and Hong Kong stock markets based on a generalized autoregressive conditional heteroskedasticity-X(GARCH-X)model with four exogenous variables,namely,volatilities of the corresponding stocks on the other market,volatilities of the indexes of both stock markets,and volatilities of the correlated stocks,which are selected using the dynamic conditional correlation model and bootstrap *** show that after the launch of the SHHKSC,volatility spillovers are significant in both directions almost all the time,and the volatility spillover between the two stock markets tends to be larger when bidirectional capital flows under the SHHKSC increase or when important financial events *** also analyze the influences of the volatilities of correlated stocks and industries on the volatility spillover and volatilities of A+H *** bidirectional volatility spillovers between Shanghai and Hong Kong stock markets do not change qualitatively after incorporating the volatilities of correlated stocks and industries in the GARCH-X ***,the average volatilities of the correlated stocks are shown to have significant influences on the volatilities of individual A+H stocks,and the influences increase when the local stock market shows a sharp rise or *** with the market indexes,the correlated stocks could be regarded as a more important and indispensable factor for individual A+H stocks’volatilities modeling,which may carry more information than the industry.

关键词： Volatility spillover Shanghai-Hong Kong Stock Connect dcc model GARCH-X model High-frequency data

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