RT Generic
T1 Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets
A1 Lafuente Luengo, Juan Ángel
A2 Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, 
AB 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
YR 2000
FD 2000-01
LK https://hdl.handle.net/10016/9849
UL https://hdl.handle.net/10016/9849
LA eng
DS e-Archivo
RD 27 jul. 2024