A Study on Information Spillover Effects from NASDAQ 100 to KOSDAQ 50 Index Futures Markets

2003 ◽  
Vol 11 (1) ◽  
pp. 145-167
Author(s):  
Gyu Hyeon Mun ◽  
Jeong Hyo Hong
Keyword(s):  
Stock Market ◽  
Real Time ◽  
Futures Markets ◽  
Spillover Effects ◽  
Time Varying ◽  
Volatility Spillover ◽  
Index Futures ◽  
Conditional Mean ◽  
Time Basis ◽  
Information Spillover

This paper studies the information spillover effects over price and volatility across countries by using open-to-close (daytime) returns and close-to-open (overnight) returns of NASDAQ 100 and KOSDAQ 50 index futures data from January 1, 2001 to December 31, 2001. Based on the time-varying AR(1)-GARCH (1,1)-M models, we document that statistically significant conditional mean and volatility spillover effects from the daytime returns of NASDAQ 100 index futures to both overnight returns and daytime returns of KOSDAQ 50 index futures were observed. We also find that there were information spillover effects from overnight returns of NASDAQ 100 index futures to daytime returns of KOSDAQ 50 index futures returns because investors in Korean stock markets can get information on U.S. stock market movement on real time basis due to the ECN transaction with its trading hour overlapped. Finally, we find that the daytime returns of KOSDAQ 50 index futures significantly influence the overnight and daytime returns of the NASDAQ 100 index futures.

scholarly journals Price Discovery on Stock Index Futures markets under Extreme Events: Evidence from China

2018 ◽  
Vol 14 (25) ◽  
pp. 190 ◽  
Author(s):  
Qian Zhang
Keyword(s):  
Stock Market ◽  
Futures Markets ◽  
Price Discovery ◽  
Stock Index ◽  
Stock Index Futures ◽  
Chinese Stock Market ◽  
Short Term ◽  
Index Futures ◽  
Stable Period

In this paper, the price discovery function of stock index futures for spot stock index is studied in view of the soaring and plunging periods of Chinese stock market in recent years. We use the VECM model to do empirical research under periods of stationary, boom and slump. The results show that there is a long-term relationship between CSI 300 index and CSI 300 index futures. During the stable period of Chinese stock market, the CSI 300 stock index futures are sensitive to the short-term impact, and its ability of price discovery is obviously. However, during the period of boom and collapse, the price discovery function of CSI 300 index futures is weak.

Dynamic co-movements and directional spillovers among energy futures

2020 ◽  
Vol 37 (4) ◽  
pp. 673-696 ◽  
Author(s):  
Sercan Demiralay ◽  
Nikolaos Hourvouliades ◽  
Athanasios Fassas
Keyword(s):  
Crude Oil ◽  
Futures Markets ◽  
Spillover Effects ◽  
Time Varying ◽  
Content Type ◽  
Energy Futures ◽  
Risk Transfer ◽  
Volatility Transmission ◽  
Heating Oil ◽  
Practical Implications

Purpose This paper aims to examine dynamic equicorrelations (DECO) and directional volatility spillover effects among four energy futures markets, namely, West Texas Intermediate crude oil, heating oil, natural gas and reformulated blendstock for oxygenate blending gasoline, by using a multivariate fractionally integrated asymmetric power ARCH–DECO–generalized autoregressive conditional heteroskedasticity (GARCH) model and the spillover index technique. Design/methodology/approach The empirical analysis uses the dynamic equicorrelation model of Engle and Kelly (2012) to examine time-varying correlations at equilibrium. The authors further analyze dynamic volatility transmission among energy futures by using Diebold and Yilmaz (2012) dynamic spillover index based on generalized value-at-risk framework. Findings The empirical results provide evidence of heightened equicorrelations at times of financial turmoil. More specifically, the dynamic spillover analysis shows that volatility is transmitted predominantly from crude oil to the other markets and risk transfer among four markets exhibits asymmetries. Spillovers are found to be highly responsive to dramatic events such as the 9/11 terror attack, 2008–2009 global financial crisis and 2014–2016 oil glut. Practical implications The results of this study have important practical implications for investors, portfolio managers and energy policymakers as the presence of time-varying co-movements and spillovers suggests the need for dynamic trading strategies. There are also implications regarding risk management practices, as there is evidence of increased volatility transmission at times of financial turmoil and uncertainty. Finally, the results provide insights to policymakers in a better understanding of the spillover dynamics. Originality/value This paper investigates the DECOs and spillover effects among crude oil, natural gas, heating oil and gasoline futures markets. To the best of the knowledge, this is one of a few studies that examine co-movements and risk transfer in energy futures in a comprehensive framework.

Simultaneous Volatility Transmission and Spillover Effects

2010 ◽  
Vol 13 (01) ◽  
pp. 127-156 ◽  
Author(s):  
Gerard L. Gannon
Keyword(s):  
Futures Markets ◽  
Spillover Effects ◽  
The United States ◽  
Market Volatility ◽  
Multivariate Garch ◽  
Index Futures ◽  
Volatility Transmission ◽  
Volatility Models ◽  
Volatility Model ◽  
Intraday Data

Simultaneous volatility models are developed and shown to be separate from multivariate GARCH estimators. An example is provided that allows for simultaneous and unidirectional volatility and volume of trade effects. These effects are tested using intraday data from the Australian cash index and index futures markets. Overnight volatility spillover effects from the United States S&P500 index futures markets are tested using alternative estimates of this US market volatility. The simultaneous volatility model proves to be robust to alternative specifications of returns equations and to misspecification of the direction of volatility causality.

Sign in / Sign up

Export Citation Format

Share Document