Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market

Title
Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market
Author(s)
강상훈[강상훈]정종철윤성민[윤성민]
Keywords
LEAD-LAG RELATIONSHIP; HIGH-FREQUENCY DATA; PRICE DISCOVERY; CROSS-CORRELATIONS; VOLUME; CASH; ARCH
Issue Date
201304
Publisher
ELSEVIER SCIENCE BV
Citation
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.392, no.8, pp.1795 - 1802
Abstract
This study provides empirical evidence of the relationship between spot and futures markets in Korea. In particular, the study focuses on the volatility spillover relationship between spot and futures markets by using three high-frequency (10 min, 30 min, and 1 h time-scales) intraday data sets of KOSPI 200 spot and futures contracts. The results indicate a strong bi-directional causal relationship between futures and spot markets, suggesting that return volatility in the spot market can influence that in the futures market and vice versa. Thus, the results indicate that new information is reflected in futures and spot markets simultaneously. This bi-directional causal relationship provides market participants with important guidance on understanding the intraday information transmission between the two markets. Thus, on a given trading day, there may be sudden and sharp increases or decreases in return volatility in the Korean stock market as a result of positive feedback and synchronization of spot and futures markets. (c) 2013 Elsevier B.V. All rights reserved.
URI
http://hdl.handle.net/YU.REPOSITORY/26018http://dx.doi.org/10.1016/j.physa.2013.01.017
ISSN
0378-4371
Appears in Collections:
기초교육대학 > 교양학부 > Articles
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE