Simultaneous Volatility Transmissions and Spillover Effects: US and Hong Kong Stock and Futures Markets

Preprint OPEN
Gerard Gannon;
(2004)
  • Subject: Simultaneous Volatility, Derivative Transmission, International Spillovers, Intra-day Volume.
    • jel: jel:G14

Contemporaneous transmission effects across volatilities of the Hong Kong Stock and Index futures markets and futures volume of trade are tested by employing a structural systems approach. Competing measures of volatility spillover, constructed from the overnight U.S. S... View more
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