Article ID: | iaor19991257 |
Country: | Netherlands |
Volume: | 95 |
Issue: | 3 |
Start Page Number: | 623 |
End Page Number: | 630 |
Publication Date: | Dec 1996 |
Journal: | European Journal of Operational Research |
Authors: | Booth G. Geoffrey, Martikainen Teppo, Chowdhury Mustafa |
The main objective of this paper is to investigate whether the US, UK and Japanese stock index futures markets have a similar volatility process. For this purpose, the common feature analysis proposed by Engle and Susmel is applied to 1988–91 data after first removing price innovations using vector autoregression. The results suggest that the three markets have a single common factor generating volatilities among markets.