ABSTRACT
This study tries to investigate the international
price relationship and volatility transmissions between stock index and stock
index futures in Asia by using three countries which are Malaysia, Hong Kong
and Japan. Vector Autoregression (VAR) GJR-GARCH model was applied to the nine
years daily price of stock index and stock index futures from these three
countries. The results show that there are feedback effects in the domestic
price relationships between the spot and futures markets. In addition, the
findings suggest that Japanese markets are the main information producer to the
market price changes in the countries investigated. This study also highlights
that international market interdependence only affected the domestic volatility
transmission of spot and futures market in Hong Kong. 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 in the unrestricted model form compared to the restricted
model form.
Keywords: spot-futures, lead-lags, volatility, VAR GJR-GARCH,
Asian financial markets.
No comments:
Post a Comment