This paper examines short-run information transmission between the U.S. and U.K. markets using the S&P 500 and FTSE 100 index futures. Ultrahigh-frequency futures data are employed-which have a number of advantages over the low-frequency spot data commonly used in previous studies-in establishing th
Intradaily periodicity and volatility spillovers between international stock index futures markets
โ Scribed by Wu, Chunchi (author);Li, Jinliang (author);Zhang, Wei (author)
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 284 KB
- Volume
- 25
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
This study examined whether the inclusion of an appropriate stochastic volatility that captures key distributional and volatility facets of stock index futures is sufficient to explain implied volatility smiles for options on these markets. I considered two variants of stochastic volatility models r
The Dow Jones Industrial Average (DJIA) is the most widely quoted stock index worldwide. This article examines the minute-by-minute price discovery process and volatility spillovers between the DJIA index and the index futures recently launched by the CBOT. The Hasbrouck (1995) cointegrating model s
Previous studies have examined causality within and between different spot and futures markets with a motivation to discover market comovements, price leadership effects, and, more recently, volatility spillovers across markets. However, the empirical framework within which this is accomplished tend
This article has benefited from the comments and suggestions of two anonymous reviewers. ## 1 Of course, speculation based on fundamentals is likely to be stabilizing rather than destabilizing. Destabilizing speculation may be the result of noise trading (i.e., buying and selling not on the basis