search query: @author Antoniou, A. / total: 10
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| Author: | Antoniou, A. Pescetto, G. Violaris, A. |
| Title: | Modelling International Price Relationships and Interdependencies between the Stock Index and Stock Index Futures Markets of Three EU Countries: a Multivariate Analysis |
| Journal: | Journal of Business Finance and Accounting
2003 : JUN/JUL, VOL. 30:5-6, p. 645-668 |
| Index terms: | VOLATILITY FINANCIAL MARKETS CENTRAL EUROPE |
| Language: | eng |
| Abstract: | This paper addresses the important relationship between stock index and stock index futures markets in an international context. The main contribution of the paper is to improve our understanding of the pricing relationship between spot and futures markets in the light of international market interdependencies. Using a multivariate VAR-EGARCH methodology, the paper investigates stock index and stock index futures market interdependence, that is lead-lag relationships and volatility interactions between the stock and futures markets of three main European countries, namely France, Germany and the UK. |
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