Intraday volatility in the bond, foreign exchange, and stock index futures markets

2008 ◽  
Vol 28 (4) ◽  
pp. 313-334 ◽  
Author(s):  
Valeria Martinez ◽  
Yiuman Tse
Keyword(s):  
Foreign Exchange ◽  
Futures Markets ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures ◽  
Intraday Volatility

Intraday Volatility in the Stock Index and Stock Index Futures Markets

1991 ◽  
Vol 4 (4) ◽  
pp. 657-684 ◽  
Author(s):  
Kalok Chan ◽  
K. C. Chan ◽  
G. Andrew Karolyi
Keyword(s):  
Futures Markets ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures ◽  
Intraday Volatility

Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?

1997 ◽  
Vol 43 (11) ◽  
pp. 1564-1576 ◽  
Author(s):  
G. Geoffrey Booth ◽  
Mustafa Chowdhury ◽  
Teppo Martikainen ◽  
Yiuman Tse
Keyword(s):  
Futures Markets ◽  
Heat Waves ◽  
Stock Index ◽  
Stock Index Futures ◽  
Meteor Showers ◽  
Index Futures ◽  
Intraday Volatility

Intraday Volatility in the Korean Stock Ind and Korean Stock Index Futures Markets

2002 ◽  
Vol 10 (1) ◽  
pp. 55-80
Author(s):  
Se Kyung Oh
Keyword(s):  
Information Flow ◽  
Futures Markets ◽  
Garch Model ◽  
Stock Index ◽  
Stock Index Futures ◽  
Least Squares Regression ◽  
Index Futures ◽  
Three Stage Least Squares ◽  
Intraday Volatility ◽  
Bivariate Garch Model

This paper tries to find the information flow between KOSPI200 Index and KOSPI200 Futures more accurately by considering two models. First, three-stage least-squares regression is used to estimate lead and lag relationships based on the representation of a simultaneous-equations model because futures and cash returns may affect each other contemporaneously. Secondly, a bivariate GARCH model is used because the lead-lag relationships between the two markets should consider not only return itself but also return volatility. The results from the first regression suggest that KOSPI200 futures returns and the index are simultaneously related and that the lead from futures to cash returns extends for about 40 minutes and the lead from cash to futures returns extends for about 30 minutes, which means the lead-lag relationship between the two markets are not unidirectional. I find from the analysis of a bivariate GARCH model that the information flow between the two markets is rather symmetrical when the volatility relationships are also considered, although it seems non-symmetrical when the returns relationships alone are considered. I also find a much stronger dependence in both directions in the volatility of returns between the cash and futures markets than that observed in the returns alone. When I consider intraday volatility as well in the lead-lag relationship between the two markets, KOSPI200 futures markets strongly lead index markets but KOSPI index do not lead futures markets. Evidence also suggests strong intermarket dependences in the conditional volatilities and in the return shocks. So the results have implications for understanding the pattern of information flows between the two markets.

Cojumps in China's spot and stock index futures markets

2015 ◽  
Vol 35 ◽  
pp. 541-557 ◽  
Author(s):  
Hao Wang ◽  
Mengqi Yue ◽  
Hua Zhao
Keyword(s):  
Futures Markets ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures
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