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: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universitas Islam Indonesia
2011-09-01
|
| Series: | Economic Journal of Emerging Markets |
| Online Access: | https://www.hmj.accounting.uii.ac.id/JEP/article/view/2285 |
| Summary: | 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 producer to the market price changes. International market
interdependence only affected the domestic volatility transmission of spot and futures
market in Hong Kong. Asymmetric effects exist in all markets and the volatility persistence in
each market is high. Finally, the overall conditional correlation estimates for spot and futures
markets are higher in the unrestricted model form compared to the restricted model
form.
Keywords: spot-futures, lead-lags, volatility, VAR GJR-GARCH, Asian financial markets |
|---|---|
| ISSN: | 2086-3128 2502-180X |