Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets
AbstractThis 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
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Futures; Stock index; GARCH; Causality;
Find related papers by 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
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- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Racine, M D & Ackert, Lucy F, 2000.
"Time-Varying Volatility in Canadian and U.S. Stock Index and Index Futures Markets: A Multivariate Analysis,"
Journal of Financial Research,
Southern Finance Association & Southwestern Finance Association, vol. 23(2), pages 129-43, Summer.
- Marie D. Racine & Lucy F. Ackert, 1998. "Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis," Working Paper 98-14, Federal Reserve Bank of Atlanta.
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