Volatility Spillovers between Spot and Futures Markets: An Empirical Study on U.S. Agricultural Commodities

2017 ◽  
Author(s):  
Velmurugan Palanipappa Shanmugan ◽  
Paul W Armah
Keyword(s):  
Empirical Study ◽  
Futures Markets ◽  
Agricultural Commodities ◽  
Volatility Spillovers

Price Discovery and Volatility Spillovers in Index Futures Markets: Some Evidence from Mexico

2003 ◽  
Author(s):  
Maosen Zhong ◽  
Ali F. Darrat ◽  
Rafael Otero
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Index Futures ◽  
Volatility Spillovers

Asymmetric arbitrage in futures markets: An empirical study

1986 ◽  
Vol 6 (4) ◽  
pp. 575-591 ◽  
Author(s):  
Da-Hsiang Donald Lien
Keyword(s):  
Empirical Study ◽  
Futures Markets

The Impact of Structural Breaks on Volatility Linkages between Asian Stock and Oil Futures Markets

2016 ◽  
Vol 24 (1) ◽  
pp. 31-64
Author(s):  
Sang Hoon Kang ◽  
Seong-Min Yoon
Keyword(s):  
Futures Markets ◽  
Structural Breaks ◽  
Global Financial Crisis ◽  
Garch Model ◽  
Time Varying ◽  
Oil Futures ◽  
Volatility Spillovers ◽  
Icss Algorithm ◽  
The Global Financial Crisis ◽  
The Impact

This paper investigates the impact of structural breaks on volatility spillovers between Asian stock markets (China, Hong Kong, India, Indonesia, Japan, Korea, Singapore, and Taiwan) and the oil futures market. To this end, we apply the bivariate DCC-GARCH model to weekly spot indices during the period 1998-2015. The results reveal significant volatility transmission for the pairs between the Asian stock and oil futures markets. Moreover, we find a significant variability in the time-varying conditional correlations between the considered markets during both bullish and bearish markets, particularly from early 2007 to the summer of 2008. Using the modified ICSS algorithm, we find several sudden changes in these markets with a common break date centred on September 15, 2008. This date corresponds to the collapse of Lehman Brothers which is considered as our breakpoint to define the global financial crisis. Also, we analyse the optimal portfolio weights and time-varying hedge ratios based on the estimates of the multivariate DCC-GARCH model. The results emphasize the importance of overweighting optimal portfolios between Asian stock and the oil futures markets.

Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico

2004 ◽  
Vol 28 (12) ◽  
pp. 3037-3054 ◽  
Author(s):  
Maosen Zhong ◽  
Ali F. Darrat ◽  
Rafael Otero
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Index Futures ◽  
Volatility Spillovers
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