Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets
Data(s) |
01/01/2005
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Resumo |
Contemporaneous transmission effects across volatilities of the Hong Kong Stock and Index futures markets and futures volume of trade are tested by employing a structural systems approach. Competing measures of volatility spillover, constructed from the overnight U.S. S&P500 index futures, are tested and found to impact on the Hong Kong asset return volatility and volume of trade patterns. The examples utilize intra-day 15-min sampled data from this medium-sized Asia Pacific equity and derivative exchange. Both the intra- and inter-day patterns in the Hong Kong market are allowed for in the estimation process.<br /> |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier BV |
Relação |
http://dro.deakin.edu.au/eserv/DU:30003365/gannon-simultaneousvolatility-2005.pdf http://dx.doi.org/10.1016/j.irfa.2004.10.005 |
Direitos |
2004, Elsevier |
Palavras-Chave | #simultaneous volatility #derivative transmission #international spillovers #intra-day volume |
Tipo |
Journal Article |