IDEAS home Printed from https://ideas.repec.org/p/dkn/acctwp/aef_2004_09.html
   My bibliography  Save this paper

Simultaneous Volatility Transmissions and Spillover Effects: US and Hong Kong Stock and Futures Markets

Author

Abstract

Contemporaneous transmission effects across volatilities of the Hong Kong Stock and Index futures markets and futures volume of trade are tested by employing a structural systems approach. Competing measures of volatility spillover, constructed from the overnight U.S. S&P500 index futures, are tested and found to impact on the Hong Kong asset return volatility and volume of trade patterns. The examples utilize intra-day 15 minute sampled data from this medium sized Asia Pacific equity and derivative exchange. Both the intra-day and Inter-day patterns in the Hong Kong market is allowed for in the estimation process.

Suggested Citation

  • Gerard Gannon, 2004. "Simultaneous Volatility Transmissions and Spillover Effects: US and Hong Kong Stock and Futures Markets," Working Papers 2004_09, Deakin University, Department of Economics.
    • Handle: RePEc:dkn:acctwp:aef_2004_09
    as

    Download full text from publisher

    File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/papers/swp2004_09.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Simultaneous Volatility; Derivative Transmission; International Spillovers; Intra-day Volume.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:dkn:acctwp:aef_2004_09. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Xueli Tang (email available below). General contact details of provider: https://edirc.repec.org/data/sedeaau.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.