Abstract:
This paper looks at simultaneous returns, jumps, and volatilities of oil futures, oil equities,
and other equities in the S&P 100 using high-frequency data. Through this method, a market
factor is found to affect the overall level of returns across the equities and the likelihood that
two given equities to jump simultaneously. A second factor is found to affect the returns and
jumps that uniquely describes the variation in the oil equity and futures data. Volatility in oil
futures and equities is not found to have a common factor due to the differences in types and
motivations of traders.
