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

e-Archivo Repository

Show simple item record

dc.contributor.author Lafuente Luengo, Juan Ángel
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned 2010-12-20T16:16:46Z
dc.date.available 2010-12-20T16:16:46Z
dc.date.issued 2000-01
dc.identifier.uri http://hdl.handle.net/10016/9849
dc.description.abstract This 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.mimetype application/octet-stream
dc.format.mimetype application/octet-stream
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Business Economics
dc.relation.ispartofseries 00-02
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Futures
dc.subject.other Stock index
dc.subject.other GARCH
dc.subject.other Causality
dc.title Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets
dc.type workingPaper
dc.subject.jel C51
dc.subject.jel G13
dc.subject.jel G14
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
 Find Full text

Files in this item

*Click on file's image for preview. (Embargoed files's preview is not supported)


The following license files are associated with this item:

This item appears in the following Collection(s)

Show simple item record