Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets
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DOI: 10.1023/A:1010000606092
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Citations
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Cited by:
- Malik, Farooq & Hammoudeh, Shawkat, 2007. "Shock and volatility transmission in the oil, US and Gulf equity markets," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 357-368.
- Chng, Michael T., 2004. "The trading dynamics of close-substitute futures markets: evidence of margin policy spillover effects," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 463-483.
- Maderitsch, R., 2015. "Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 13-36.
- Milunovich, George & Thorp, Susan, 2006.
"Valuing volatility spillovers,"
Global Finance Journal,
Elsevier, vol. 17(1), pages 1-22, September.
- George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," Research Papers 0506, Macquarie University, Department of Economics.
- George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," International Finance 0506008, EconWPA.
- Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
- Nikolaos Sariannidis & Evangelos Drimbetas, 2008. "Impact of international volatility and the introduction of Individual Stock Futures on the volatility of a small market," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 119-119.
- Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
- Ewing, Bradley T. & Malik, Farooq & Ozfidan, Ozkan, 2002. "Volatility transmission in the oil and natural gas markets," Energy Economics, Elsevier, vol. 24(6), pages 525-538, November.
- repec:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1113-5 is not listed on IDEAS
- Claudiu Tiberiu Albulescu & Daniel Goyeau & Aviral Kumar Tiwari, 2017.
"Co-movements and contagion between international stock index futures markets,"
Empirical Economics,
Springer, vol. 52(4), pages 1529-1568, June.
- Claudiu Tiberiu Albulescu & Daniel Goyeau & Aviral Kumar Tiwaric, 2016. "Co-movements and contagion between international stock index futures markets," Post-Print halshs-01388618, HAL.
More about this item
Keywords
spillover effect; nonsynchronous trading; stock index futures;Statistics
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