Intraday volatility in international stock index futures markets: Meteor showers or heat waves?

Management Science

Volumn 43, Issue 11, 1997, Pages 1564-1576

  Booth, G Geoffrey ^a   Chowdhury, Mustafa ^a   Martikainen, Teppo ^a   Tse, Yiuman ^a  

^a NONE

Author keywords

Extreme Value Estimators; Stock Index Futures; Vector Autoregression; Volatility Spillovers

Indexed keywords

ESTIMATION; FORECASTING; INFORMATION RETRIEVAL; INTERNATIONAL COOPERATION; MARKETING; REGRESSION ANALYSIS;

VECTOR AUTOREGRESSION;

INTERNATIONAL TRADE;

EID: 0031268642     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.43.11.1564     Document Type: Article

References (49)

1. Arshanapalli, B. and J. Doukas, "International Stock Markets Linkages: Evidence from the Pre- and Post-October 1987 Period," J. Banking and Finance, 17, 1 (1993), 193-208.
2. Bacha, O. and A. F. Vila, "Futures Markets, Regulation and Volatility: The Case of the Nikkei Stock Index Futures Markets," Pacific-Basin Finance J., 2 (1994), 201-225.
3. Bae, K.-H. and G. A. Karolyi, "Good News, Bad News and International Spillovers of Stock Return Volatility Between Japan and the U.S.," Pacific-Basin Finance J., 2 (1994), 405-438.
4. Bailey, W., "The Market for Japanese Stock Index Futures: Some Preliminary Evidence," J. Futures Markets, 9, 4 (1989), 283-295.
5. Barclay, M., R. H. Litzenberger, and J. B. Warner, "Private Information, Trading Volume, and Stock-Return Variances," Rev. Financial Studies, 3, 2 (1990), 233-253.
6. Bhatt, S. and N. Cakici, "Premiums on Stock Index Futures. Some Evidence," J. Futures Markets, 10, 4 (1990), 367-375.
7. Board, J. and C. Sutcliffe, "Information, Volatility and Maturity: An Investigation of Stock Index Futures," Rev. Futures Markets, 9, 3 (1990), 101-121.
8. Bollerslev, T., "Modelling the Coherence in Short-Term Nominal Exchange Rates: A Multivariate Generalized ARCH Approach," Rev. Economics and Statistics, 72 (1990), 498-505.
9. _, R. Y. Chou, and K. F. Kroner, "ARCH Modeling in Finance: A Review of Theory and Empirical Evidence," J. Econometrics, 52 (1992), 5-59.
10. Booth, G. G., T.-H. Lee, and Y. Tse, "International Linkages in Nikkei Stock Index Futures Markets," Pacific-Basin Finance J., 4, 1 (1996), 59-76.
11. _, T. Martikainen, and V. Puttonen, "The International Lead-Lag Effect Between Market Returns: Comparison of Stock Index Futures and Cash Markets," J. International Financial Markets, Institutions and Money, 3 (1994), 537-557.
12. Brenner, M., M. G. Subrahmanyam, and J. Uno, "Arbitrage Opportunities in the Japanese Stock and Futures Markets," Financial Analysts J., February-March (1990), 14-24.
13. Chan, K. C. and G. A. Karolyi, "The Volatility of the Japanese Stock Market: Evidence from 1977 to 1990," in W. T. Ziemba, W. Bailey and Y. Hamao, Japanese Financial Market Research, North-Holland, New York, 1991.
14. Chan, K., "A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market," Rev. Financial Studies, 5, 1 (1992), 123-152.
15. Chung, P. Y., "A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability," J. Finance, 46, 5 (1991), 1791-1809.
16. Dickey, D. A. and W. A. Fuller, "Distribution of the Estimators for Autoregressive Time Series with a Unit Root," J. American Statistical Association, 74 (1979), 427-431.
17. Engle, R. F., T. Ito, and W-L. Lin, "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," Econometrica, 58 (1990), 525-542.
18. _ and V. K. Ng, "Measuring and Testing the Impact of News on Volatility," J. Finance, 48 (1993), 1749-1778.
19. Eun, C. S. and S. Shim, "International Transmission of Stock Market Movements," J. Financial and Quantitative Analysis, 24, 2 (1989), 241-256.
20. French, K. R. and R. Roll, "Stock Return Variances: The Arrival of Information and the Reaction of Traders," J. Financial Economics, 17 (1986), 5-26.
21. Fuller, W. A., Introduction to Statistical Time Series, Wiley, New York, 1976.
22. Futures: The Magazine of Commodities and Options, March 1992, 52-55.
23. Carman, M. and M. Klass, "On the Estimation of Security Price Volatilities from Historical Data," J. Business, 53 (1980), 67-78.
24. Hamao, Y., R. W. Masulis, and V. Ng, "Correlations in Price Changes and Volatility Across International Stock Markets," Rev. Financial Studies, 3, 2 (1990), 281-307.
25. _, _, and _, "The Effect of 1987 Stock Crash on International Financial Integration," in W. T. Ziemba, W. Bailey, and Y. Hamao, Japanese Financial Market Research, North-Holland, New York, (1991).
26. Hansen, L. P., "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, 50 (1982), 1029-1054.
27. Huang, R. D., R. W. Masulis, and H. R. Stall, "Energy Shocks and Financial Markets," J. Futures Markets, 16, 1 (1996), 1-27.
28. Jeon, B. and G. M. von Furstenberg, "Growing International Comovements in Stock Price Indexes," Quarterly Rev. Economics and Business, 30, 3 (1990), 15-30.
29. Koch, P. D. and T. W. Koch, "Evolution in Dynamic Linkages Across Daily National Stock Indexes," J. International Money and Finance, 10 (1991), 231-251.
30. Koutmos, G. and G. G. Booth, "Asymmetric Volatility Transmission in International Stock Markets," J. International Money and Finance, 14 (1995), 747-762.
31. Kutner, G. W. and R. J. Sweeney, "Causality Tests Between the S&P 500 Cash and Futures Markets," Quarterly J. Business and Economics, 30 (1991), 51-74.
32. Lin, J-C. and M. S. Rozeff, "Variance, Return and High-Low Price Spreads," J. Financial Res., 17, 3 (1994), 301-319.
33. Malliaris, A. G. and J. L. Urrutia, "The International Crash of October 1987: Causality Tests," J. Financial and Quantitative Analysis, 27, 3 (1992), 353-364.
34. Merrick, J. J., Jr., "Early Unwindings and Rollovers of Stock Index Arbitrage Programs: Analysis and Implications for Predicting Expiration Day Effects," J. Futures Markets, 9, 2 (1989), 101-111.
35. Miller, M. H., "Functional Regulation," Pacific-Basin Finance J., 2 (1994), 91-106.
36. Newey, W. and K. West, "A Simple Positive Semi-definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55 (1987), 703-708.
37. _ and _, "Automatic Lag Selection in Covariance Matrix Estimation," Rev. Economic Studies, 61 (1993), 631-654.
38. Parkinson, M., "The Extreme Value Method for Estimating the Variance of the Rate of Return." J. Business, 53 (1980), 61-65.
39. Perron, P., "Trends and Random Walks in Macroeconomic Time Series," J. Economic Dynamics and Control, 12 (1988), 297-332.
40. Phillips, P. C. B., "Time Series Regression with a Unit Root," Econometrics, 55 (1987), 277-301.
41. Said, S. and D. A. Dickey, "Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order," Biometrika, 71 (1984), 599-607.
42. Schwert, G. W., "Stock Volatility and the Crash of '87," Rev. Financial Studies, 3, 1 (1990), 77-102.
43. Sims, C. A., "Macroeconomics and Reality," Econometrica, 48 (1980), 1-48.
44. Stoll, H. R. and R. E. Whaley, "The Dynamics of Stock Index and Stock Index Futures Returns," J. Financial and Quantitative Analysis, 25 (1990), 441-468.
45. Susmel, R. and R. F. Engle, "Hourly Volatility Spillovers Between International Equity Markets," J. International Money and Finance, 13, 1 (1994), 3-25.
46. Sutcliffe, C. M. S., Stock Index Futures: Theories and International Evidence, Chapman & Hall, London, UK, 1993.
47. Wiggins, J. B., "Estimating the Volatility of S&P 500 Futures Prices Using the Extreme-Value Method," J. Futures Markets, 12, 3 (1992), 265-273.
48. Yadav, P. K. and P. F. Pope, "Stock Index Futures Arbitrage: International Evidence," J. Futures Markets, 10, 6 (1990), 573-603.
49. Ziemba, W. T. and S. L. Schwartz, Invest Japan. Probus Publishing Company, Chicago, IL, 1992.