ABSTRACT
This study tries to investigate the price relationships
and volatility transmissions between stock index and stock index futures in Malaysia, Hong Kong and Japan. The results show that there
are feedback effects in the domestic price relationships between the spot and
futures markets. In addition, the results present evidence that asymmetric
effects exist in all markets and the volatility persistence in each markets is
high. Finally, the overall conditional correlation estimates for spot and
futures markets in these three countries are higher compared to the
unconditional correlation estimates.
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