RESEARCH ARTICLE
Forecasting the Asian stock market volatility: Evidence from WTI and INE oil futures
Maria Ghani,
Feng Ma,
Dengshi Huang,
Maria Ghani
School of Economics and Management, Southwest Jiaotong University, Chengdu, China
Search for more papers by this authorCorresponding Author
Feng Ma
School of Economics and Management, Southwest Jiaotong University, Chengdu, China
Correspondence
Feng Ma, School of Economics and Management, Southwest Jiaotong University, Chengdu, China.
Email: [email protected]
Search for more papers by this authorDengshi Huang
School of Economics and Management, Southwest Jiaotong University, Chengdu, China
Search for more papers by this authorMaria Ghani,
Feng Ma,
Dengshi Huang,
Maria Ghani
School of Economics and Management, Southwest Jiaotong University, Chengdu, China
Search for more papers by this authorCorresponding Author
Feng Ma
School of Economics and Management, Southwest Jiaotong University, Chengdu, China
Correspondence
Feng Ma, School of Economics and Management, Southwest Jiaotong University, Chengdu, China.
Email: [email protected]
Search for more papers by this authorDengshi Huang
School of Economics and Management, Southwest Jiaotong University, Chengdu, China
Search for more papers by this authorAbstract
This study investigates whether China's crude oil futures (INE) and West Texas Intermediate (WTI) markets hold valuable information for estimating the realized volatility of seven Asian stock markets. This study has several notable findings. First, China's oil futures can trigger forecast accuracy for three equity indices (Nikkei 225, NSEI, and FT Straits Times), whereas WTI helps forecast the volatility of the two indices (KSE 100 and KOSPI). Second, comparing China's crude oil futures with WTI's crude oil futures, we find that the former could be an effective indicator for all seven Asian stock markets during a high-volatility period, while WTI information is helpful in forecasting the volatility of the KSE 100, NSEI, and FT Strait Times during the low-volatility period. Further, information of both oil futures is ineffective for the Hang Seng and SSEC equity indices. Our results are robust in several robustness checks, including alternative evaluation methods, recursive window approach, and alternative realized measures, even during the COVID-19 pandemic.
Open Research
DATA AVAILABILITY STATEMENT
The data that support the findings of this study are available from the corresponding author upon reasonable request. The data are not publicly available due to commercial restrictions.
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