Spillover Effect Between U.S.Crude Oil And Major Global Stock Markets

As one of the indispensable strategic energy sources in the world,crude oil plays an important role in the sustainable and healthy development of national economy and financial market.With the global development of crude oil futures trading,crude oil has the attributes of both general commodity and financial commodity.Its price change not only depends on the market supply and demand,but also is impacted by the price of other financial markets,especially the risk spillover with the stock market.In the existing literature on the risk spillover between crude oil and stock market,the intraday trading data of crude oil market are mostly used,while the importance of overnight trading information is ignored.The capital markets of Asian countries are often affected by the overnight information of major European and American markets,resulting in short jump and sharp drop,which makes many investors suffer huge losses.Therefore,in order to make up for this gap,this paper provides more rigorous evidence for the spillover relationship between the two markets based on the intraday 5-minute high-frequency trading data,and takes the volatility spillover between the two markets into account in the crude oil market volatility prediction model,so as to further improve the crude oil market volatility prediction accuracy.The innovation and contribution of this paper mainly include the following aspects(1)By calculating the total spillover index with full sample method and rolling window method,this paper respectively tests the high-frequency volatility spillover relationship between G7countries’ stock market and crude oil market during the synchronous trading period,and finds that the volatility spillover effect of different countries’ stock market on crude oil market is closely related to the opening time of domestic financial market.The U.S.market mainly affects the volatility of crude oil market through intraday spillover,while the Japanese market mainly reflects overnight spillover.European countries show significant intraday and overnight spillover effects at the same time,but the impact is weaker than that of Japan and the U.S.(2)By comparing the asymmetry of spillover between national stock market and crude oil market,it is found that intraday spillover is mainly dominated by "bad volatility",while overnight spillover is mainly dominated by "good volatility",which shows that the crude oil market is mainly affected by trading factors and information factors in different trading periods.(3)By testing the Chinese market which is completely in the overnight trading period of the crude oil market,it is found that the spillover effect of the Chinese market in the opening period is significantly greater than that in the closing period,and the spillover effect of the two markets in the opening period is mainly dominated by adverse fluctuations.(4)The characteristics of time-frequency spillover relationship are added to the crude oil volatility prediction model.The total spillover is divided into short-term,medium-term and longterm trading frequency by using Baruník and Krehlík(2018)time-frequency spillover measurement method.The total spillover and fractional spillover index are added to the har model.It is found that the addition of spillover index can improve the accuracy of crude oil market volatility prediction.