Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets |
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Authors: | Gerard Gannon |
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Affiliation: | Department of Accounting, Economics and Finance, Faculty of Business and Law, Deakin University, Burwood Highway, Burwood, Victoria 3125, Australia |
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Abstract: | Contemporaneous transmission effects across volatilities of the Hong Kong Stock and Index futures markets and futures volume of trade are tested by employing a structural systems approach. Competing measures of volatility spillover, constructed from the overnight U.S. S&P500 index futures, are tested and found to impact on the Hong Kong asset return volatility and volume of trade patterns. The examples utilize intra-day 15-min sampled data from this medium-sized Asia Pacific equity and derivative exchange. Both the intra- and inter-day patterns in the Hong Kong market are allowed for in the estimation process. |
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Keywords: | G13 |
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