Common volatility in major stock index futures markets

Common volatility in major stock index futures markets

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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: , ,
Abstract:

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.

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