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Information Flows Between Eurodollar Spot and Futures Markets

Author

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  • Yin-Wong Cheung

    (University of California Santa Cruz, U.S.A.)

  • Hung-Gay Fung

    (University of Missouri-St. Louis, U.S.A.)

Abstract

The pattern of information flows between Eurodollar spot and futures markets is examined using a robust two-step procedure. This procedure allows for conditional mean and variance dynamics as well as conditional heteroskedasticity. We find spot rates affect futures data and vice versa. In addition, there is evidence of volatility spillover between the two markets. Our results also indicate that information conveyed by data on futures tends to have a more persistent impact on both the mean and volatility of cash market price movements than the other way around.

Suggested Citation

  • Yin-Wong Cheung & Hung-Gay Fung, 1997. "Information Flows Between Eurodollar Spot and Futures Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(4), pages 255-271, December.
    • Handle: RePEc:mfj:journl:v:1:y:1997:i:4:p:255-271
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    References listed on IDEAS

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    More about this item

    Keywords

    Granger causality; cointegration; Eurodollar spot and futures interest rates; information flow;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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