The DOI matches its Crossref record; 39 of the 39 references it cites were found in a registry or an index.
Price discovery and volatility spillovers in the DJIA index and futures markets
Abstract
The Dow Jones Industrial Average (DJIA) is the most widely quoted stock index worldwide. This article examines the minute-by-minute price discovery process and volatility spillovers between the DJIA index and the index futures recently launched by the CBOT. The Hasbrouck (1995) cointegrating model suggests that most of the price discovery takes place at the futures market. However, by examining the volatility spillovers between the markets based on a bivariate EGARCH model, a significant bidirectional information flow is found. That is, innovations in one market can predict the future volatility in another market, but the futures market volatility-spillovers to the stock market more than vice versa. Both markets also exhibit asymmetric volatility effects, with bad news having a greater impact on volatility than good news. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 911–930, 1999
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Cites
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Johansen, S. (1991) · Econometrica · doi:10.2307/2938278 · Cited by 11,116
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
Measuring and Testing the Impact of News on Volatility
ENGLE, R. F., & NG, V. K. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05127.x · Cited by 3,611
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
Bollerslev, T. (1990) · The Review of Economics and Statistics · doi:10.2307/2109358 · Cited by 3,512
A Theory of Intraday Patterns: Volume and Price Variability
Admati, A. R., & Pfleiderer, P. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.1.3 · Cited by 3,119
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
Bollerslev, T. (1987) · The Review of Economics and Statistics · doi:10.2307/1925546 · Cited by 2,565
The stochastic behavior of common stock variances Value, leverage and interest rate effects
Christie, A. (1982) · Journal of Financial Economics · doi:10.1016/0304-405x(82)90018-6 · Cited by 2,379
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
One Security, Many Markets: Determining the Contributions to Price Discovery
HASBROUCK, J. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04054.x · Cited by 1,621
Metadata
- Authors
- Tse, Y.
- Venue
- Journal of Futures Markets
- Publisher
- Wiley
- Published
- 1999-12
- Volume
- 19
- Issue
- 8
- Pages
- 911-930
- ISSN
- 0270-7314 (ISSN-L)
- 1096-9934
- DOI
- 10.1002/(sici)1096-9934(199912)19:8
- OpenAlex
- W2145182845
- Cited by
- 284
- References
- 39
- FWCI
- 7.52
- Type
- journal article
- Language
- en
- Open access
- closed
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