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VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES
Author(s) -
Franses Philip Hans,
leperen Reinoud,
Kofman Paul,
Martens Martin,
Menkveld Bert
Publication year - 1997
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1997.tb00260.x
Subject(s) - futures contract , volatility (finance) , volatility swap , econometrics , economics , forward volatility , financial economics , implied volatility , volatility risk premium , volatility smile , monetary economics
We analyze intraday volatility behavior for the Bund futures contract that is traded simultaneously at two competing exchanges. We investigate the transmission of volatility between the exchanges. We find that the lead/lag relations are restricted to a few minutes and do not reveal a dominant leader. We then analyze patterns in intraday volatility. We find that volatility behaves similarly at both exchanges; i.e., it decreases from the opening until early afternoon and increases thereafter. The same pattern is detected in explanatory variables such as traded volume and time‐between‐trades.