Information role of US futures trading in a global financial market
Publication in refereed journal


香港中文大学研究人员 ( 现职)

梁伟坚教授 (酒店及旅游管理学院)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1002/fut.2105

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/7WOS source URL

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摘要Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the patterns of information flows for three financial futures contracts that are dual-listed on U.S. and Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollar-yen currency futures). The results indicate that the U.S. market plays a leading role in terms of pricing-information transmission across markets. In terms of volatility spillover across markets, however, foreign markets seem to play a similar role (e.g., Nikkei Index futures) or even a more significant role than the United States (e.g., Eurodollar futures in Singapore and dollar-yen currency futures in Japan), (C) 2001 John Wiley & Sons, Inc.

着者Fung HG, Leung WK, Xu XQE
期刊名称Journal of Futures Markets
出版年份2001
月份11
日期1
卷号21
期次11
出版社JOHN WILEY & SONS INC
页次10http://aims.cuhk.edu.hk/converis/portal/Publication/71 - 1090
国际标準期刊号02http://aims.cuhk.edu.hk/converis/portal/Publication/70-http://aims.cuhk.edu.hk/converis/portal/Publication/7314
电子国际标準期刊号1096-9934
语言英式英语

Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE