Intradaily Periodicity and Volatility Spillovers between International Stock Index Futures Markets
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2005
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/787 |
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| Institution: | Singapore Management University |
| Language: | English |