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 spillov… Show more
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.