Information role of US futures trading in a global financial market
Publication in refereed journal

香港中文大學研究人員
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摘要Using 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.
著者Fung HG, Leung WK, Xu XQE
期刊名稱Journal of Futures Markets
出版年份2001
月份11
日期1
卷號21
期次11
出版社JOHN WILEY & SONS INC
頁次1071 - 1090
國際標準期刊號0270-7314
電子國際標準期刊號1096-9934
語言英式英語
Web of Science 學科類別Business & Economics; Business, Finance; BUSINESS, FINANCE

上次更新時間 2021-13-01 於 23:42