Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico

Journal of Banking and Finance

Volumn 28, Issue 12, 2004, Pages 3037-3054

  Zhong, Maosen ^a   Darrat, Ali F ^b,c   Otero, Rafael ^d  

^a UNIVERSITY OF QUEENSLAND   (Australia)

^b AMERICAN UNIVERSITY OF SHARJAH   (United Arab Emirates)

^c LOUISIANA TECH UNIVERSITY   (United States)

^d UNIVERSITY OF TEXAS AT BROWNSVILLE   (United States)

Author keywords

Cointegration; EGARCH; Emerging markets; Error correction; Stock index futures

Indexed keywords

EID: 6444238674     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2004.05.001     Document Type: Article

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