Information role of US futures trading in a global financial market
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AbstractUsing a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the patterns of information flows for three financial futures contracts that are dual-listed on U.S. and Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollar-yen currency futures). The results indicate that the U.S. market plays a leading role in terms of pricing-information transmission across markets. In terms of volatility spillover across markets, however, foreign markets seem to play a similar role (e.g., Nikkei Index futures) or even a more significant role than the United States (e.g., Eurodollar futures in Singapore and dollar-yen currency futures in Japan), (C) 2001 John Wiley & Sons, Inc.
All Author(s) ListFung HG, Leung WK, Xu XQE
Journal nameJournal of Futures Markets
Year2001
Month11
Day1
Volume Number21
Issue Number11
PublisherJOHN WILEY & SONS INC
Pages1071 - 1090
ISSN0270-7314
eISSN1096-9934
LanguagesEnglish-United Kingdom
Web of Science Subject CategoriesBusiness & Economics; Business, Finance; BUSINESS, FINANCE

Last updated on 2021-26-02 at 02:00