Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market
β Scribed by Kang, Sang Hoon; Cheong, Chongcheul; Yoon, Seong-Min
- Book ID
- 122428789
- Publisher
- Elsevier Science
- Year
- 2013
- Tongue
- English
- Weight
- 410 KB
- Volume
- 392
- Category
- Article
- ISSN
- 0378-4371
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## Abstract Using highβfrequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China. Although the Chinese stock index started a sharp decline immediately after the stock in
## Abstract Unlike the U.S. and Japanese securities markets, we find new evidence of volatility spillover between index stocks and nonβindex stocks following the introductions of index derivatives trading in the Korean securities markets. We further find that the degree of volatility spillover is c