An Study on the Information Spillover Effect of Returns, Volatility, and volume in the KOSPI200 Spot and Futures Market

Purpose The purpose of this paper is to compare the changes in the risk spillover effects between the copper spot and futures markets before and after the issuance of copper options, analyze the risk spillover effects between the three markets after the issuance of the options and can provide effective suggestions for regulators and investors who hedge risks. Design/methodology/approach The MV-CAViaR model is an extended form of the vector autoregressive model (VAR) to the quantile model, and it is also a special form of the MVMQ-CAViaR model. Based on the VAR quantile model, this model has undergone continuous promotion of the Conditional Autoregressive Value-at-Risk Model (CAViaR) and the Multi-quantile Conditional Autoregressive Value-at-Risk Model (MQ-CAViaR), and finally got the current form of the model. Findings The issuance of options has led to certain changes in the risk spillover effect between the copper spot and its derivative markets, and the risk aggregation effect in the futures market has always been significant. Therefore, when supervising the copper product market and investors using copper derivatives to avoid market risks, they need to pay attention to the impact of futures on the spot market, the impact of options on the futures market and the risk spillover effects of spot and futures on the options market. Practical implications The empirical results of this paper can be used to hedge market risk investment strategies, and the changes in market relationships also provide an effective basis for the supervision of the copper product market by the supervisory authority. Originality/value It is the first literature research to discuss the risk and the impact of spillover effects of copper options on China copper market and its derivative markets. The MV-CAViaR model can capture the mutual risk influence between markets by modeling multiple markets simultaneously.

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Research on Information Spillover Effect of the RMB Exchange Rate and Stock Market Based on R-Vine Copula

Complexity ◽

10.1155/2020/2492181 ◽

2020 ◽

Vol 2020 ◽

pp. 1-12

Author(s):

Xiaofei Wu ◽

Shuzhen Zhu ◽

Suxue Wang

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Spillover Effect ◽

Dependence Structure ◽

Chinese Stock Market ◽

Single Currency ◽

Rmb Exchange Rate ◽

The Exchange Rate ◽

Information Spillover ◽

Vine Copula

This paper studies the dependence structure and information spillover effect between the RMB exchange rate and the Chinese stock market based on the R-vine copula model and spillover index model. The results show that due to the occurrence of the trade war, the correlation between the three RMB exchange rate indicators and the two stock market indicators increases in varying degrees. In the intensity of spillover, the information spillover of the stock market to the RMB exchange rate is significantly enhanced, and the information spillover intensity of the RMB Index to the stock market increases, but the information spillover of the US dollar and Hong Kong dollar exchange rates to the stock market is significantly weakened. In the direction of spillover, the spillover of the RMB Index and stock market shows the characteristics of alternating transformation, while the exchange rate of a single currency and the stock market shows a one-way transmission from the stock market to the exchange rate. Additionally, the information spillover between the RMB exchange rate and the stock market is closely related to the degree of market openness. The RMB Index contains more information than the exchange rate of a single currency.

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Price Discovery Process and Volatility Spillover in Spot and Futures Markets: Evidences of Individual Stocks

Vikalpa The Journal for Decision Makers ◽

10.1177/0256090920100205 ◽

2010 ◽

Vol 35 (2) ◽

pp. 49-62 ◽

Cited By ~ 11

Author(s):

T Mallikarjunappa ◽

E M Afsal

Keyword(s):

Futures Markets ◽

Price Discovery ◽

Spillover Effect ◽

Spot Market ◽

Futures Market ◽

Discovery Process ◽

Short Term ◽

Asymmetric Volatility ◽

Spot Volatility ◽

Price Discovery Process

This paper analyses information-based superiority of markets mainly with an objective of exploring arbitrage opportunities. It attempts to determine the lead-lag relationship between spot and futures markets in the Indian context by using high frequency price data of twelve individual stocks, observed at one-minute interval. The study applies the concept of co-integration and establishes the spot-futures relationship using Vector Error Correction Mechanism (VECM) represented by EGARCH framework. To study the price discovery process in the two markets, five lags each of one-minute resolution for nine individual stocks and four lags for the remaining three stocks are chosen. The key results of the study are given below: There is a contemporaneous and bi-directional lead-lag relationship between the spot and futures markets. A feedback mechanism of short life is functional between the two markets. Price discovery occurs in both the markets simultaneously. There exists short-term disequilibrium that could be corrected in the next period. Volatility spillover from spot market to futures market is present in such a way that a decrease in spot volatility leads to a decrease in futures volatility. Volatility shocks are asymmetric and persistent in both the markets. Spillover from futures market to spot market is not significant. Neither spot nor futures assume a considerable leading role and neither of the markets is supreme in price discovery. In the case of 33.33 per cent of spot values and 33.33 per cent of futures values, there exists short-term disequilibrium that could be corrected in the next period by decreasing the prices. Spot market volatility spills over to futures market in most of the cases (66.66 %) and a decrease in spot volatility brings about a decrease in futures volatility in 50 per cent of the cases. Spillover effect from futures to spot market is present and significant in 91.66 per cent of stocks and is more than the spillover effect from spot to futures (50% valid cases). The markets are highly integrated. Asymmetric behaviour of volatility shocks is mixed in both the markets. Asymmetric volatility is detected in 50 per cent of the cases of spot market and 58.33 per cent cases of futures market. Stocks exhibiting asymmetric volatility show more sensitivity to negative shocks. There are no cases of market becoming more volatile in response to good news.

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Government governance, executive networks and corporate investment efficiency

China Finance Review International ◽

10.1108/cfri-06-2016-0053 ◽

2018 ◽

Vol 8 (2) ◽

pp. 122-139 ◽

Cited By ~ 8

Author(s):

Xin Jin ◽

Junli Yu

Keyword(s):

Design Methodology ◽

Spillover Effect ◽

Corporate Investment ◽

Investment Behavior ◽

Investment Efficiency ◽

Conduction Path ◽

Content Type ◽

Informal Institution ◽

Government Governance ◽

Information Spillover

PurposeOwing to the importance of the investment behavior in China, the purpose of this paper is to find the influence of executive network and government governance on investment efficiency.Design/methodology/approachThe paper use China’s listed companies as sample to make an investment efficiency determinant model.FindingsIn this article, the authors find that larger executive network and higher government governance will lead to more corporate investment efficient. Furthermore, the informal institution – executive network, is not only an effective way to alleviate financing constraints, but also can solve underinvestment problem. While the improvement of local government governance can provide institutional protection, it will also be more conducive to restrain overinvestment behavior.Research limitations/implicationsThe authors have not explored conduction path. Especially, the authors have not examined whether information spillover effect or the release of resources constraints in executive network plays a more important role to ease investment insufficient.Originality/valueUnder the Chinese circumstance, relationship governance can not only promote companies to improve investment efficiency, but also provide an important guarantee for sustained macroeconomic growth.

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Are Stock Markets Interdependent? An Empirical Study of Selected Market Indices

GIS Business ◽

10.26643/gis.v11i4.3432 ◽

2016 ◽

Vol 11 (4) ◽

pp. 57-67

Author(s):

Falguni H. Pandya

Keyword(s):

Granger Causality ◽

Spillover Effect ◽

Correlation Coefficients ◽

Granger Causality Test ◽

Causality Test ◽

Market Index ◽

International Investors ◽

Basic Characteristics ◽

Highly Correlated ◽

Information Spillover

It has been acclaimed by various researchers that international diversification has reduced its charm as return-risk of the world markets are highly correlated due to information spillover effect and globalization. This study examines inter linkages and interactions, if any, among the selected twelve indices of developed and emerging economies. The study applies descriptive statistics, correlation coefficients and Granger Causality test to check basic characteristics of each indices and their correlation and impact on each other. Granger Causality test for some indices shows that return of one market index had causal influence on return in other market index. The finding of this paper gives good insights to the international investors who are looking to reduce risk for a given level of return.

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