Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets

Gannon, Gerald 2005, Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets, International review of financial analysis, vol. 14, no. 3, pp. 326-336.

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Title Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets
Author(s) Gannon, Gerald
Journal name International review of financial analysis
Volume number 14
Issue number 3
Start page 326
End page 336
Publisher Elsevier BV
Place of publication New York, N.Y.
Publication date 2005
ISSN 1057-5219
1873-8079
Keyword(s) simultaneous volatility
derivative transmission
international spillovers
intra-day volume
Summary 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.
Notes Available online 19 November 2004. JEL classification: G13
Language eng
Field of Research 150201 Finance
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2004, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30003365

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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