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 |
Metadatos
Título
Intraday realised volatility relationships between the S&P 500 spot and futures marketAutoría
Fecha de publicación
2009Editor
Palgrave MacmillanISSN
1753-9641Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://www.palgrave-journals.com/jdhf/journal/v15/n2/abs/jdhf20098a.htmlVersión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
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. [-]
Publicado en
Journal of Derivatives & Hedge Funds, 15, 2, p. 116–121Derechos de acceso
Copyright 2009 Palgrave Macmillan
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