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Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorLafuente Luengo, Juan Ángel
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned2010-12-20T16:16:46Z
dc.date.available2010-12-20T16:16:46Z
dc.date.issued2000-01
dc.description.abstractThis paper analyses the intraday lead and lag relationships between return and volatilities in the Ibex 35 spot and futures markets. With hourly data we jointly perform the analysis estimating a bivariate error correction model. with GARCH perturbations, which captures stochastically the presence of an intraday U shaped curve for both spot and futures volatility. Consistent with previous studies for U .S., our findings show an unidirectional causal relationship from the futures to spot market, both in returns and volatilities. This empirical pattern suggests that futures markets leads spot market to incorporate the arrival of new information
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/9849
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Business Economics
dc.relation.ispartofseries00-02
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.subject.jelC51
dc.subject.jelG13
dc.subject.jelG14
dc.subject.otherFutures
dc.subject.otherStock index
dc.subject.otherGARCH
dc.subject.otherCausality
dc.titleIntraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets
dc.typeworking paper*
dspace.entity.typePublication
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