Intraday relationships between volatility in S&amp;P 500 futures prices and volatility in the S&amp;P 500 index

Kawaller, Ira G.; Koch, Paul D.; Koch, Timothy W.

doi:10.1016/0378-4266(90)90055-7

Cited by 69 publications

(48 citation statements)

References 21 publications

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“…Kawaller, Koch, and Koch (1990) report that they do not find any systematic pattern of lead and lag relationship in volatilities, contrary to the observed lead and lag relationship in price changes between the two markets. Arshanapalli and Doukas (1994) also examine whether the S&P 500 index futures and the underlying cash index have the same volatility process.…”

Section: Introductioncontrasting

confidence: 53%

A further investigation of the lead-lag relationship between the spot market and stock index futures: Early evidence from Korea

Min¹,

Najand

1999

J. Fut. Mark.

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Section: Introductioncontrasting

confidence: 53%

A further investigation of the lead-lag relationship between the spot market and stock index futures: Early evidence from Korea

Min¹,

Najand

1999

J. Fut. Mark.

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“…This is reported in futures markets by Kawaller et al (1990), Froot et al (1990), Cheung and Ng (1990), Chan et al (1991), Ekman (1992), Ito and Lin (1992), Becker et al (1993), Gannon (1994), Lee and Linn (1994), Wang et al (1994), Chang et al (1995), Daigler (1997), Franses et al (1997), Kofman and Martens (1997), Buckle et al (1998), andTse (1999). U-shaped intraday volatility in equity markets is reported by McInish and Wood (1990), Gerety and Mulherin (1992), Lehmann and Modest (1994), Werner and Kleidon (1996) and Abhyankar et al (1997).…”

Section: Previous Empirical Evidencementioning

confidence: 88%

Private Information, Excessive Volatility and Intraday Empirical Regularities in the Spot Foreign Exchange Market

2005

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Financial markets generally, and the spot foreign exchange market in particular, are reputed to be excessively volatile. Previous research has linked this excess volatility to private information. This article re-examines the theory and challenges that link. Empirical evidence suggests that random variation between buy and sell volumes is a more important driver than private information in the spot foreign exchange market. The paper also develops theoretical propositions for the relationships between key market variables on an intraday basis. High frequency data is used to examine the role of private information in explaining well documented intraday patterns that persist in the time series of a number of trade related variables, including return volatility. JEL Classification: F31; G12; G15; D4

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“…Trading volume has been widely used as a measure for the rate of information arrival; it is the number of transactions in a futures contract during a specified period of time (see Sutcliffe, 2006). Trading volume is viewed as a proxy for new information, consistent with the sequential information model (Copeland, 1976) and the mixture of distributions hypothesis (Clark, 1973); these theories predict a positive relationship between daily volume and volatility (see, for example, Kawaller et al, 1990;Locke and Sayers, 1993;Kawaller et al, 1994;Wang andYau, 2000 for US, andBoard andSutcliffe, 1990;Ap Gwilym et al, 1999 for UK). Trading volume measures speculative demand for futures (Lucia and Pardo, 2010).…”

mentioning

confidence: 99%

Dynamic spillover effects in futures markets: UK and US evidence

Antonakakis

Floros

Kizys

2016

International Review of Financial Analysis

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Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of futures trading and open interest in the UK and the US. Based on a dataset over the period February 25, 2008 to March 14, 2013, that encompasses both the global financial crisis and the Eurozone debt crisis, we find that spot and futures volatilities in the UK (US) are net receivers (net transmitters) of shocks to volume of futures trading and open interest. The analysis also sheds light on the dynamic interdependence of spot and futures market volatilities between the US and the UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature, however, they are affected by major economic events such as the global financial and Eurozone debt crisis. Several robustness checks endorse our main findings. Overall, these results have important implications for various market participants and financial sector regulators.

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Intraday relationships between volatility in S&P 500 futures prices and volatility in the S&P 500 index

Cited by 69 publications

References 21 publications

A further investigation of the lead-lag relationship between the spot market and stock index futures: Early evidence from Korea

A further investigation of the lead-lag relationship between the spot market and stock index futures: Early evidence from Korea

Private Information, Excessive Volatility and Intraday Empirical Regularities in the Spot Foreign Exchange Market

Dynamic spillover effects in futures markets: UK and US evidence

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