International Price Relationship and Volatility Transmission Between Stock Index and Stock Index Futures
This study investigates the international price relationship and volatility transmissions between stock index and stock index futures of Malaysia, Hong Kong and Japan. Vector Autoregression (VAR) GJR-GARCH model was applied to the nine years daily price. Japanese markets are the main information pro...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Islam Indonesia
2011-09-01
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| Series: | Economic Journal of Emerging Markets |
| Online Access: | https://www.hmj.accounting.uii.ac.id/JEP/article/view/2285 |