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| Author: | Booth, G. Chowdhury, M. Martikainen, T. |
| Title: | Common volatility in major stock index futures markets |
| Journal: | European Journal of Operational Research
1996 : DEC 20, VOL. 95:3, p. 623-630 |
| Index terms: | OPERATIONAL RESEARCH FINANCE INTERNATIONAL |
| Language: | eng |
| 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. The key notions are: finance, asset pricing, international, stock index futures. |
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