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Information Role of U.S. Futures Trading in a Global Financial Market
Author(s) -
Fung HungGay,
Leung Wai K.,
Xu Xiaoqing Eleanor
Publication year - 2001
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.2105
Subject(s) - futures contract , eurodollar , economics , financial economics , currency , spillover effect , forward market , index (typography) , volatility (finance) , u.s. dollar index , liberian dollar , monetary economics , us dollar , finance , microeconomics , world wide web , computer science
Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine thepatterns of information flows for three financial futures contracts that are dual‐listed on U.S. andAsian markets (i.e., Nikkei 225 Index, Eurodollar, and dollar–yen currency futures). The resultsindicate that the U.S. market plays a leading role in terms of pricing‐information transmission acrossmarkets. 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). © 2001 John Wiley& Sons, Inc. Jrl Fut Mark 21:1071–1090, 2001