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Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets

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  • Lafuente Luengo, Juan Ángel

Abstract

This paper analyses the intraday lead and lag relationships between return and volatilities in the Ibex 35 spot and futures markets. With hourly data we jointly perform the analysis estimating a bivariate error correction model. with GARCH perturbations, which captures stochastically the presence of an intraday U shaped curve for both spot and futures volatility. Consistent with previous studies for U .S., our findings show an unidirectional causal relationship from the futures to spot market, both in returns and volatilities. This empirical pattern suggests that futures markets leads spot market to incorporate the arrival of new information

Suggested Citation

  • Lafuente Luengo, Juan Ángel, 2000. "Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets," DEE - Working Papers. Business Economics. WB 9849, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    • Handle: RePEc:cte:wbrepe:9849
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    References listed on IDEAS

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    6. Yoshio Iihara & Kiyoshi Kato & Toshifumi Tokunaga, 1996. "Intraday return dynamics between the cash and the futures markets in Japan," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(2), pages 147-162, April.
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    More about this item

    Keywords

    Futures;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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