Intradaily Periodicity and Volatility Spillovers between International Stock Index Futures Markets

• Main Authors: WU, Chunchi, LI, Jinliang, ZHANG, Wei
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2005
• Subjects: Business; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/787
• Institution: 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...