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Volatility Patterns and Spillovers in Bund Futures

Author

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  • Franses, P.H.
  • Van Ieperen, R.
  • Kofman, P.
  • Martens, M.
  • Menkveld, B.

Abstract

In this paper we examine intraday volatility of the Bund future, which is traded at the London International Financial Futures Exchange (LIFFE) and the Deutsche Terminborse (DTB). Our objective is two-fold. First, we investigate spillovers in volatility between the exchanges. Such spillovers are found to occur only within one minute and they do not reveal any systematic lead of one exchange on the other. Second, we study patterns in intraday volatility. Our results indicate that volatility decreases from the opening hour until early afternoon and rises thereafter. The same pattern is detected in explanatory variables like traded volume and time-between-trades. Bid-ask spreads, however, seem to be constant throughout the day.
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Suggested Citation

  • Franses, P.H. & Van Ieperen, R. & Kofman, P. & Martens, M. & Menkveld, B., 1994. "Volatility Patterns and Spillovers in Bund Futures," Monash Econometrics and Business Statistics Working Papers 16/94, Monash University, Department of Econometrics and Business Statistics.
    • Handle: RePEc:msh:ebswps:1994-16
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    Cited by:

    1. Kaiser, Ulrich, 1997. "The determinants of BUND-future price changes: An ordered probit analysis using DTB and LIFFE data," ZEW Discussion Papers 97-09, ZEW - Leibniz Centre for European Economic Research.
    2. Franke, Günter & Hess, Dieter, 1995. "Anonymous electronic trading versus floor trading," Discussion Papers, Series II 285, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    3. John Board & Charles Sutcliffe & Stephen Wells, 2002. "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3, September.

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