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dc.contributor.authorLafuente Luengo, Juan Ángel
dc.date.accessioned2014-06-23T09:36:37Z
dc.date.available2014-06-23T09:36:37Z
dc.date.issued2009
dc.identifier.issn1753-9641
dc.identifier.urihttp://hdl.handle.net/10234/95617
dc.description.abstractIn 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.ca_CA
dc.format.extent6 p.ca_CA
dc.format.mimetypeapplication/pdfca_CA
dc.language.isoengca_CA
dc.publisherPalgrave Macmillanca_CA
dc.relation.isPartOfJournal of Derivatives & Hedge Funds, 15, 2, p. 116–121ca_CA
dc.rightsCopyright 2009 Palgrave Macmillanca_CA
dc.subjectrealised volatilityca_CA
dc.subjectspotca_CA
dc.subjectfuturesca_CA
dc.subjectdynamic interactionsca_CA
dc.subjectprice discoveryca_CA
dc.titleIntraday realised volatility relationships between the S&P 500 spot and futures marketca_CA
dc.typeinfo:eu-repo/semantics/articleca_CA
dc.identifier.doihttp://dx.doi.org/10.1057/jdhf.2009.8
dc.rights.accessRightsinfo:eu-repo/semantics/restrictedAccessca_CA
dc.relation.publisherVersionhttp://www.palgrave-journals.com/jdhf/journal/v15/n2/abs/jdhf20098a.htmlca_CA


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