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The international transmission of information in Eurodollar futures markets: a continuously trading market hypothesis

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  • Tse, Yiuman
  • Lee, Tae-Hwy
  • Booth, G. Geoffrey
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    File URL: http://www.sciencedirect.com/science/article/B6V9S-3VW1S3W-7/2/9b7a286e8be3220dcf5985c0649b6907
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 15 (1996)
    Issue (Month): 3 (June)
    Pages: 447-465

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    Handle: RePEc:eee:jimfin:v:15:y:1996:i:3:p:447-465

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    Web page: http://www.elsevier.com/locate/inca/30443

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    References

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    1. Malliaris, A. G. & Urrutia, Jorge L., 1992. "The International Crash of October 1987: Causality Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 353-364, September.
    2. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    3. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    4. Lee, Tae-Hwy & Tse, Yiuman, 1996. "Cointegration tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 73(2), pages 401-410, August.
    5. Cheung, Yin-Wong & Lai, Kon S, 1993. "Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(3), pages 313-28, August.
    6. Barclay, Michael J & Litzenberger, Robert H & Warner, Jerold B, 1990. "Private Information, Trading Volume, and Stock-Return Variances," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 233-53.
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    Cited by:
    1. Hernandez, Manuel A. & Ibarra, Raul & Trupkin, Danilo R., . "How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 124979, International Association of Agricultural Economists.
    2. deB. Harris, Frederick H. & McInish, Thomas H. & Wood, Robert A., 2002. "Security price adjustment across exchanges: an investigation of common factor components for Dow stocks," Journal of Financial Markets, Elsevier, vol. 5(3), pages 277-308, July.
    3. Mun, Kyung-Chun, 2007. "Volatility and correlation in international stock markets and the role of exchange rate fluctuations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(1), pages 25-41, February.
    4. Paolo Savona & Aurelio Maccario & Chiara Oldani, 2000. "On Monetary Analysis of Derivatives," Open Economies Review, Springer, vol. 11(1), pages 149-175, August.
    5. Tse, Yiuman, 1998. "International transmission of information: evidence from the Euroyen and Eurodollar futures markets," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 909-929, December.
    6. Sequeira, John M & Chiat, Pang Chia & McAleer, Michael, 2004. "Volatility models of currency futures in developed and emerging markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 79-93.
    7. Tse, Yiuman & Martinez, Valeria, 2007. "Price discovery and informational efficiency of international iShares funds," Global Finance Journal, Elsevier, vol. 18(1), pages 1-15.
    8. Tswei, Keshin & Lai, Jing-yi, 2009. "Information contents misjudged: Digressive convergence to equilibrium in cointegrated prices," Review of Financial Economics, Elsevier, vol. 18(4), pages 183-189, October.
    9. Geoffrey Booth, G. & Ciner, Cetin, 1997. "International transmission on information in corn futures markets," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 175-187, October.
    10. Wang, Steven Shuye & Meng Rui, Oliver & Firth, Michael, 2002. "Return and volatility behavior of dually-traded stocks: the case of Hong Kong," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 265-293, April.
    11. Wang, Steven Shuye & Firth, Michael, 2004. "Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 235-254, July.
    12. Tse, Yiuman & Booth, G. Geoffrey, 1997. "Information shares in international oil futures markets," International Review of Economics & Finance, Elsevier, vol. 6(1), pages 49-56.
    13. Tse, Yiuman, 1999. "Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1831-1860, December.

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