Information transmission across stock indices and stock index futures: International evidence using wavelet framework
نویسندگان
چکیده
منابع مشابه
Stock Index Futures Trading and Volatility in International Equity Markets
We examine stock market volatility before and after the introduction of equity index futures trading in twenty-five countries, using various models that account for asynchronous data, conditional heteroskedasticity, asymmetric volatility responses, and the joint dynamics of each country’s index with the world market portfolio. We find that futures trading is related to an increase in conditiona...
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ژورنال
عنوان ژورنال: Research in International Business and Finance
سال: 2018
ISSN: 0275-5319
DOI: 10.1016/j.ribaf.2017.07.112