Intraday volatility spillovers between oil prices and stock sectors
Bibliographic record
Abstract
This study examines intraday volatility spillovers between oil prices and sector indices of five oil exporting and nine oil importing countries applying the connectedness approach. The sample comprises 1689 stocks, from which ten sector indices are manually constructed utilising 5-min data covering the period from July 31, 2020, to April 30, 2021. Results indicate that the total volatility connectedness remains elevated following the peak phases of market turbulence during the global health crisis. Significant and dynamic volatility interdependencies are observed between oil and sector indices, with the direction and intensity of spillovers varying by country and sector. Oil serves as a primary net-contributor of volatility to sectors in Norway and the United Kingdom, while acting as a net-recipient from sectors in Canada and the United States. Sectors in Australia, China, Mexico, and South Korea exhibit minimal volatility interlinkages with oil.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".