Intradaily Periodicity and Volatility Spillovers between International Stock Index Futures Markets

• المؤلفون الرئيسيون: WU, Chunchi, LI, Jinliang, ZHANG, Wei
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2005
• الموضوعات: Business; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/787
• المؤسسة: Singapore Management University

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. Ultrahighfrequency futures data are employed - which have a number of advantages over the low-frequency spot data commonly used in previous studies - in establis...