Intraday realised volatility relationships between the S&P 500 spot and futures market
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comunitat-uji-handle2:10234/8648
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http://dx.doi.org/10.1057/jdhf.2009.8 |
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Title
Intraday realised volatility relationships between the S&P 500 spot and futures marketAuthor (s)
Date
2009Publisher
Palgrave MacmillanISSN
1753-9641Type
info:eu-repo/semantics/articlePublisher version
http://www.palgrave-journals.com/jdhf/journal/v15/n2/abs/jdhf20098a.htmlVersion
info:eu-repo/semantics/publishedVersionSubject
Abstract
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. [-]
Is part of
Journal of Derivatives & Hedge Funds, 15, 2, p. 116–121Rights
Copyright 2009 Palgrave Macmillan
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- COFIN_Articles [218]