Intraday realised volatility relationships between the S&P 500 spot and futures market
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http://dx.doi.org/10.1057/jdhf.2009.8 |
Metadades
Títol
Intraday realised volatility relationships between the S&P 500 spot and futures marketAutoria
Data de publicació
2009Editor
Palgrave MacmillanISSN
1753-9641Tipus de document
info:eu-repo/semantics/articleVersió de l'editorial
http://www.palgrave-journals.com/jdhf/journal/v15/n2/abs/jdhf20098a.htmlVersió
info:eu-repo/semantics/publishedVersionParaules clau / Matèries
Resum
In this paper, we provide additional evidence on the intraday lead-lag relationship in the S&P 500 stock index futures market. In particular, we focus on the dynamic interactions of market volatility. In contrast to ... [+]
In this paper, we provide additional evidence on the intraday lead-lag relationship in the S&P 500 stock index futures market. In particular, we focus on the dynamic interactions of market volatility. In contrast to previous studies, we follow Andersen et al by using realised volatility to estimate market volatility. The empirical findings support the existence of a unidirectional causal relationship between futures market volatility and spot market volatility, suggesting that the arrival of new information disseminates faster in the derivative market. [-]
Publicat a
Journal of Derivatives & Hedge Funds, 15, 2, p. 116–121Drets d'accés
Copyright 2009 Palgrave Macmillan
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info:eu-repo/semantics/restrictedAccess
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info:eu-repo/semantics/restrictedAccess
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