Simultaneous Volatility Transmissions and Spillover Effects: US and Hong Kong Stock and Futures Markets
AbstractContemporaneous transmission effects across volatilities of the Hong Kong Stock and Index futures markets and futures volume of trade are tested by employing a structural systems approach. Competing measures of volatility spillover, constructed from the overnight U.S. S&P500 index futures, are tested and found to impact on the Hong Kong asset return volatility and volume of trade patterns. The examples utilize intra-day 15 minute sampled data from this medium sized Asia Pacific equity and derivative exchange. Both the intra-day and Inter-day patterns in the Hong Kong market is allowed for in the estimation process.
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Bibliographic InfoPaper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Accounting, Finance, Financial Planning and Insurance Series with number 2004_09.
Length: 23 pages
Date of creation: 17 May 2004
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Simultaneous Volatility; Derivative Transmission; International Spillovers; Intra-day Volume.;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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