Intraday price dynamics in spot and derivatives markets
نویسندگان
چکیده
This study examines intraday relationships among the spot index, index futures, and the implied volatility index based on the VAR(1)-asymmetric BEKK-MGARCH model. Analysis of a high-frequency dataset from theKorean financialmarket confirms that there is a strong intraday market linkage between the spot index, KOSPI200 futures, and VKOSPI and that asymmetric volatility behaviour is clearly present in the Korean market. The empirical results indicate that the futures return shock affects the spot market more severely than the spot return shock affects the futures market, though there is a bi-directional causal relationship between the spot and futures markets. Our results, based on a highquality intraday dataset, satisfy both the positive risk–return relationship and asymmetric volatility effect, which are not reconciled in the frameworks of previous studies. © 2013 Elsevier B.V. All rights reserved.
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