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| Tekijä: | Booth, G. |
| Otsikko: | Intraday volatility in international stock index futures markets: meteor showers or heat waves? |
| Lehti: | Management Science
1997 : NOV, VOL. 43:11, p. 1564-1576 |
| Asiasana: | FUTURE MARKETS MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | THe international transmission of intraday price volatility among the US, UK and Japanese stock index futures markets in the period 1988-1994 is investigated in this paper. The empirical results based on extreme-value estimators and vector autoregression indicate the rapid transmission of information between markets. The volatilities of the US and Uk futures markets appear to follow a meteor shower rather than a heat wave type of process. |
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