Intertemporal volatility and price interactions between Australian and Japanese spot and futures stock index markets

Sim, Ah-Boon; Zurbreugg, Ralf

doi:10.1002/(sici)1096-9934(199908)19:5<523::aid-fut2>3.0.co;2-6

Cited by 15 publications

(15 citation statements)

References 29 publications

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“…Kim, Szakmary, and Schwarz (1999) examine the role that trading costs have when examining price discovery across the S&P 500, NYSE, and MMI futures with their respective spot indices. Finally, Sim and Zurbreugg (1999) find evidence of cross-market linkages where Japanese Nikkei index futures partially relay information to the Australian All-Ords futures market.…”

Section: Price Discovery and Spot-futures Market Interactionmentioning

confidence: 84%

The intra‐day price discovery process between the Singapore Exchange and Taiwan Futures Exchange

Roope

Zurbruegg

2002

Journal of Futures Markets

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This paper focuses on the increasing competition between exchanges for listing similar index futures contracts and the impact this has on information dissemination between various markets. Specifically, using both the Hasbrouck and Gonzalo-Granger methodologies for extracting the information content held in each market, a comparison of information efficiencies between the Singapore Exchange and the Taiwan Futures Exchange is examined for Taiwan Index Futures listed in both markets. The results show not only a common stochastic trend between index futures and their underlying indices, but also provide strong evidence to suggest price discovery primarily originates from the Singapore futures

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Section: Price Discovery and Spot-futures Market Interactionmentioning

confidence: 84%

The intra‐day price discovery process between the Singapore Exchange and Taiwan Futures Exchange

Roope

Zurbruegg

2002

Journal of Futures Markets

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“…There are extensive studies in the literature exploring how volatilities in stock and stock index futures markets behave and how these volatilities interact with each other. These studies include those of Chan et al (1991), Koutmos and Tucker (1996), Iihara et al (1996), Tse (1999), Sim and Zurbreugg (1999), Bhar (2001), Kavussanos et al (2008), Bohl et al (2011), among others. However, trading of stock index futures is relatively new or even non-existent in most emerging economies.…”

Section: Introductionmentioning

confidence: 99%

“…Our findings shed light on informational efficiency of the CSI 300 index futures and enrich conclusions in the literature. Although a potential relationship between market disequilibrium and degree of uncertainty (volatility) is widely observed in developed stock and stock index futures markets (Engle and Yoo, 1987;Lee, 1994;Sim and Zurbreugg, 1999;Kavussanos et al, 2008;Bohl et al, 2011), no evidence is found for the Chinese stock market. This paper finds that volatility of the CSI 300 index futures is intensified by disequilibrium between spot and futures prices.…”

Section: Introductionmentioning

confidence: 99%

Volatility behaviour of stock index futures in China: a bivariate GARCH approach

Hou

2015

Studies in Economics and Finance

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If you would like to write for this, or any other Emerald publication, then please use our Emerald for Authors service information about how to choose which publication to write for and submission guidelines are available for all. Please visit www.emeraldinsight.com/authors for more information. About Emerald www.emeraldinsight.comEmerald is a global publisher linking research and practice to the benefit of society. The company manages a portfolio of more than 290 journals and over 2,350 books and book series volumes, as well as providing an extensive range of online products and additional customer resources and services.Emerald is both COUNTER 4 and TRANSFER compliant. The organization is a partner of the Committee on Publication Ethics (COPE) and also works with Portico and the LOCKSS initiative for digital archive preservation. AbstractPurpose -This paper aims to investigate the volatility transmission and dynamics in China Securities Index (CSI) 300 index futures market. Design/methodology/approach -This paper applies the bivariate Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC) Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models using high frequency data. Estimates for the bivariate GARCH models are obtained by maximising the log-likelihood of the probability density function of a conditional Student's t distribution.Findings -This empirical analysis yields a few interesting results: there is a one-way feedback of volatility transmission from the CSI 300 index futures to spot returns, suggesting index futures market leads the spot market; volatility response to past bad news is asymmetric for both markets; volatility can be intensified by the disequilibrium between spot and futures prices; and trading volume has significant impact on volatility for both markets. These results reveal new evidence on the informational efficiency of the CSI 300 index futures market compared to earlier studies. Originality/value -This paper shows that the CSI 300 index futures market has improved in terms of price discovery one year after its existence compared to its early days. This is an important finding for market participants and regulators. Further, this study considers the volatility response to news, market disequilibrium and trading volume. The findings are thus useful for financial risk management.

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“…Among such studies, a major focus has 6 been on the volatility transmission between stock index spot and futures prices in the developed economies. It has been concluded in the literature that information flows from index futures market to its underlying stock market, implying a leading role of the former in the price discovery process (Chan et al, 1991;Koutmos and Tucker, 1996;Iihara et al, 1996;Tse, 1999;Sim and Zurbreugg, 1999;Bhar, 2001, Kavussanos et al, 2008, and Bohl et al, 2011. The empirical evidence is consistent with the transaction costs theory which states that futures prices always lead spot ones in the information transmission process as the former attracts more informed traders in the market venue due to its lower transaction costs and less market microstructure biases (Silber, 1985;Flemming et al, 1996).…”

Section: Literature Reviewmentioning

confidence: 99%

Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China

Hou

2020

International Review of Economics & Finance

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This paper examines volatility and skewness spillover between the Chinese stock index and index futures markets during a market crash in 2015. The volatility spillover from futures to spot is significant and stronger than the other way around. Moreover, the transmission of downside risk is bilateral with the futures market taking the lead. It is revealed that measures announced during the market crash to curb the speculative futures trading enhance the spillover of both volatility and skewness from futures to spot markets. This finding sheds light on validity of such measures to restore market efficiency during a stock market crash.

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Intertemporal volatility and price interactions between Australian and Japanese spot and futures stock index markets

Cited by 15 publications

References 29 publications

The intra‐day price discovery process between the Singapore Exchange and Taiwan Futures Exchange

The intra‐day price discovery process between the Singapore Exchange and Taiwan Futures Exchange

Volatility behaviour of stock index futures in China: a bivariate GARCH approach

Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China

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