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Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: evidence from VAR-MGARCH estimations

Janda, Karel; Krištoufek, Ladislav; Zhang, Binyi - 2022

Persistent link: https://www.econbiz.de/10013163659

The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns

Lambertides, Neophytos - 2017

This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed...

Persistent link: https://www.econbiz.de/10012959469

High Frequency Trading in the Equity Markets During US Treasury POMO

Gao, Cheng - 2018

We analyze high frequency trading (HFT) activity in equities during U.S. Treasury permanent open market (POMO) purchases by the Federal Reserve. We construct a model to study HFT quote and trade behavior when private information is released and confirm it empirically. We estimate that HFT firms...

Persistent link: https://www.econbiz.de/10012938427

Harnessing the decomposed realized measures for volatility forecasting : evidence from the US stock market

Lu, Botao; Ma, Feng; Wang, Jiqian; Ding, Hui; Wahab, M. … - In: International review of economics & finance : IREF 72 (2021), pp. 672-689

Persistent link: https://www.econbiz.de/10012672074

Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence

Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012518664

Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data

Ji, Qiang; Liu, Bing-Yue; Cuñado Eizaguirre, Juncal; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012658792

Return and volatility spillovers between Chinese and U.S. clean energy related stocks

Janda, Karel; Krištoufek, Ladislav; Zhang, Binyi - In: Energy economics 108 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013203260

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

Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74

This study investigates the role of oil futures price information on forecasting the US stock market volatility using … futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly …, considering the contemporaneous connection is useful to predict the US stock market volatility. Furthermore, these findings are …

Persistent link: https://www.econbiz.de/10013206077

Spillovers of US market volatility and monetary policy uncertainty to global stock markets

Chiang, Thomas C. - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013187644

What affects the relationship between oil prices and the U.S. stock market? : a mixed-data sampling copula approach

Gong, Yuting; Bu, Ruijun; Chen, Qiang - In: Journal of financial econometrics 20 (2022) 2, pp. 253-277

Persistent link: https://www.econbiz.de/10013187978