Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?
AbstractThe international transmission of intraday price volatility among the United States, United Kingdom, and Japanese stock index futures markets in the period 1988--1994 is investigated in this paper. The empirical results based on extreme-value estimators and vector autoregression indicate the rapid transmission of information between markets. The volatilities of the U.S. and U.K. futures markets appear to follow a meteor shower rather than a heat wave type of process. This means that these volatilities react to shocks from other markets, i.e., they cannot be described only by their past values. However, the heat wave hypothesis is not rejected for the Japanese market, meaning that the shocks to Japanese volatility are mostly country-specific. A multivariate GARCH model supports the U.K. and Japanese but not the U.S. results.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by INFORMS in its journal Management Science.
Volume (Year): 43 (1997)
Issue (Month): 11 (November)
stock index futures; volatility spillovers; extreme value estimators; vector autoregression;
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Eleanor Xu, Xiaoqing & Chen, Peter & Wu, Chunchi, 2006. "Time and dynamic volume-volatility relation," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1535-1558, May.
- Nikkinen, Jussi & Sahlstrom, Petri, 2004. "International transmission of uncertainty implicit in stock index option prices," Global Finance Journal, Elsevier, vol. 15(1), pages 1-15.
- Le Pen, Yannick & Sévi, Benoît, 2010. "Revisiting the excess co-movements of commodity prices in a data-rich environment," Economics Papers from University Paris Dauphine 123456789/6800, Paris Dauphine University.
- Gannon, Gerard, 2005. "Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 326-336.
- Giulio Cifarelli & Giovanna Paladino, 2001. "Volatility spillovers and the role of leading financial centres," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 54(216), pages 37-71.
- 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.
- Sévi, Benoît & Le Pen, Yannick, 2010.
"Volatility transmission and volatility impulse response functions in European electricity forward markets,"
Economics Papers from University Paris Dauphine
123456789/5450, Paris Dauphine University.
- Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
- Giulio Cifarelli & Giovanna Paladino, 2001. "Volatility spillovers and the role of leading financial centres," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 54(216), pages 37-71.
- Gerard Gannon, 2004. "Simultaneous Volatility Transmissions and Spillover Effects: US and Hong Kong Stock and Futures Markets," Accounting, Finance, Financial Planning and Insurance Series 2004_09, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- Antonakakis, Nikolaos & Kizys, Renatas & Floros, Christos, 2014. "Dynamic Spillover Effects in Futures Markets," MPRA Paper 53876, University Library of Munich, Germany.
- Vinay Datar & Raymond So & Yiuman Tse, 2008. "Liquidity commonality and spillover in the US and Japanese markets: an intraday analysis using exchange-traded funds," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 379-393, November.
- In, Francis, 2007. "Volatility spillovers across international swap markets: The US, Japan, and the UK," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 329-341, April.
- Boppana Nagarjuna & Varadi Vijay Kumar, 2010. "Heat waves or Meteor showers: Empirical evidence from the stock markets," Journal of Economics and Econometrics, Economics and Econometrics Research Institute (EERI), Brussels, vol. 53(2), pages 57-74.
- Smith, Kenneth L., 2001. "Pre- and post-1987 crash frequency domain analysis among Pacific Rim equity markets," Journal of Multinational Financial Management, Elsevier, vol. 11(1), pages 69-87, February.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mirko Janc).
If references are entirely missing, you can add them using this form.