For full functionality of ResearchGate it is necessary to enable JavaScript. G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Volatipity. This paper re-examines the finding in Lamoureux and Lastrapes Journal of Finance, 45, using alternative proxies for the number of intraday equilibria, which are included in the conditional variance equation of a GARCH model. This information is provided to you by. Please be patient as the files may be large. However, there is pronounced spillover effect of a previous shock and volatility from the futures market to spot market. If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.




Using hourly data, we jointly analyze the interactions between markets, estimating a bivariate error correction model with GARCH perturbations which captures stochastically the presence of an intraday U- shaped curve for both spot and futures market volatility. Our findings show a bidirectional causal relationship between market volatilities, with a positive feedback. This two-way transmission of volatility is consistent with market prices evolving according to a long-run equilibrium relationship, and shocks affecting both markets in the same direction.

Our empirical results also support a unidirectional cross interaction from futures to spot market returns. This pattern suggests that the futures market leads the spot market in order to incorporate the arrival of new information. Part of Springer Nature. Lafuente Original paper Cite this article as: Lafuente, J.

Span Econ Rev 4: Log in to check access. Unlimited access to the full article. Include local sales tax if applicable. Learn about institutional subscriptions. We use cookies to improve your experience with our site. Over 10 million scientific documents at your fingertips.




TOP 5 de la semana Ibex 25/05/15


Intraday return and volatility relationships volatility relationships between the Ibex 35 the intraday relation between spot volatility and. Intraday volatility and information arrival in the IBEX futures markets if the intraday volatility of the IBEX - 35 index future. Intraday return and volatility relationships and volatilities in the Ibex 35 spot and futures markets. order to incorporate the arrival of new information.