Volatility interactions between equity and crude oil markets: Evidence from intraday ETF data

This study replicates and extends the study done by Phan, Sharma and Narayan (2015) using intraday data from two widely available exchange traded funds (SPY and USO), before and after the recent regime change, which was represented by the drop in crude oil prices of 2014. Phan, Sharma and Narayan (2015) use data from futures contracts to demonstrate that lagged trading information like bid-ask spread, number of shares traded and price volatility, from the same market and cross-market, when incorporated in a single volatility prediction setup, can significantly improve future volatility prediction for equity and crude oil markets. The main findings of our study confirms the conclusion reached by the reference paper and also demonstrate that these results hold before and after the drop in crude oil prices, which occurred in 2014.