Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market

► This study focuses on the volatility spillover between spot and futures markets. ► High-frequency intraday data of KOSPI 200 spot and futures contracts is analyzed. ► We found a strong bi-directional causality between futures and spot markets. ► Volatility in the spot market influences that in the futures market and vice versa. ► Sudden volatility changes are due to synchronization of spot and futures markets.