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Intraday Information Transmission in the South African Equities Market

Author

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  • Kerry McCullough

    (University of KwaZulu-Natal)

Abstract

Price discovery is an integral function of financial exchanges, while volatility is a primary concern of market participants. Few studies consider both within an intraday equities context. This paper examines the FTSE/JSE Top 40 index and index futures market, and determines this market’s: (i) price discovery process; (ii) respective contributions to the price discovery process; and (iii) volatility spillover process. Volatility spillover is estimated with dynamic conditional correlation GARCH models. Price discovery is futures-led (5-minute interval) – although bi-directional in shorter intervals. Common Factor Weights show that price discovery is dominated by the futures market. Volatility spillover is a bi-directional process.

Suggested Citation

  • Kerry McCullough, 2018. "Intraday Information Transmission in the South African Equities Market," The African Finance Journal, Africagrowth Institute, vol. 20(2), pages 1-20.
    • Handle: RePEc:afj:journl:v:20:y:2018:i:2:p:1-20
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    More about this item

    Keywords

    Information Transmission; Price Discovery; Volatility Spillover; FTSE/JSE Top 40; and Intraday;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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