| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481746 | Physica A: Statistical Mechanics and its Applications | 2013 | 8 Pages |
Abstract
⺠This study focuses on the volatility spillover between spot and futures markets. ⺠High-frequency intraday data of KOSPI 200 spot and futures contracts is analyzed. ⺠We found a strong bi-directional causality between futures and spot markets. ⺠Volatility in the spot market influences that in the futures market and vice versa. ⺠Sudden volatility changes are due to synchronization of spot and futures markets.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Sang Hoon Kang, Chongcheul Cheong, Seong-Min Yoon,