Information Role of U.S. Futures Trading in a Global Financial Market

✍ Scribed by Hung-Gay Fung; Wai K. Leung; Xiaoqing Eleanor Xu

• Publisher: John Wiley and Sons
• Year: 2001
• Tongue: English
• Weight: 130 KB
• Volume: 21
• Category: Article
• ISSN: 0270-7314
• DOI: 10.1002/fut.2105

✦ Synopsis

Abstract

Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the
patterns of information flows for three financial futures contracts that are dual‐listed on U.S. and
Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollar–yen currency futures). The results
indicate that the U.S. market plays a leading role in terms of pricing‐information transmission across
markets. In terms of volatility spillover across markets, however, foreign markets seem to play a similar role
(e.g., Nikkei Index futures) or even a more significant role than the United States (e.g.,
Eurodollar futures in Singapore and dollar–yen currency futures in Japan). © 2001 John Wiley
& Sons, Inc. Jrl Fut Mark 21:1071–1090, 2001