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| Tekijä: | Cheung, Y-W. Fung, H-G. |
| Otsikko: | Information flows between Eurodollar spot and futures markets |
| Lehti: | Multinational Finance Journal
1997 : DEC, VOL. 1:4, p. 255-271 |
| Asiasana: | Stock markets Futures markets Cointegration Information Interest rates Europe USA |
| Kieli: | eng |
| Tiivistelmä: | In the paper, the pattern of information flows btw. Eurodollar futures and spot markets is examined using a robust two-step procedure. It is found that spot rates affect futures data and vice versa. In addition, there is evidence of volatility spill-over btw. the two markets. It is also indicated by the results of this paper that information conveyed by data on futures tends to have more persistent impact on both the volatility and the mean of cash market price movements than the other way around. |
SCIMA