Dynamic spillover effects in futures markets: UK and US evidence

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• 作者：Nikolaos Antonakakis^a ; ^b ; ^{nikolaos.antonakakis@wu.ac.at} ; ^{nikolaos.antonakakis@port.ac.uk} ; Christos Floros^c ; ^d ; ^{cfloros@staff.teicrete.gr} ; Renatas Kizys^b ; ^{renatas.kizys@port.ac.uk}
• 关键词：Spot and futures markets ; Volatility ; Volume ; Open interest ; Spillovers
• 刊名：International Review of Financial Analysis
• 出版年：2016
• 出版时间：December 2016
• 年：2016
• 卷：48
• 期：Complete
• 页码：406-418
• 全文大小：1612 K
• 卷排序：48

文摘

We estimate dynamic volatility spillovers in the stock index futures market. Dynamic volatility spillovers build on Diebold and Yilmaz (2009, 2012). Volatility in UK (US) is a net receiver (transmitter) of shocks to futures volume. Bidirectional volatility spillovers between UK and US are identified. Open interest is a net receiver of shocks to futures volume in UK and US. Spot and futures volatilities adjust similarly to a shock in either market.