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Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets

Author

Listed:
  • Robles-Fernandez M. Dolores

    (Universidad Complutense de Madrid)

  • Nieto Luisa

    (Universitat Jaume I)

  • Fernandez M. Angeles

    (Universitat Jaume I)

Abstract

This paper analyses the nonlinear dynamic behaviour of intraday returns in the Eurostoxx50 cash and futures index which, given their relatively recent appearance, have not yet been analysed. We find that both return series show nonlinear individual dynamics that cannot exclusively be explained by the presence of conditional heteroskedasticity. Our findings also indicate nonlinear dynamic relationships between both market prices. The adjustment process to mispricing errors is nonlinear and shows periods of explosive behaviour. Finally, we distinguish between linear and nonlinear Granger causality and establish that the information flow is bi-directional both in the linear as well as in the nonlinear sphere.

Suggested Citation

  • Robles-Fernandez M. Dolores & Nieto Luisa & Fernandez M. Angeles, 2004. "Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-28, December.
    • Handle: RePEc:bpj:sndecm:v:8:y:2004:i:4:n:3
    DOI: 10.2202/1558-3708.1106
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