COMMON VOLATILITY IN MAJOR STOCK INDEX FUTURES MARKETS

Authors
BOOTH GG CHOWDHURY M MARTIKAINEN T
Citation
Gg. Booth et al., COMMON VOLATILITY IN MAJOR STOCK INDEX FUTURES MARKETS, European journal of operational research, 95(3), 1996, pp. 623-630
Citations number
22
Categorie Soggetti
Management,"Operatione Research & Management Science","Operatione Research & Management Science
Journal title
European journal of operational research → ACNP
ISSN journal
03772217
Volume
95
Issue
3
Year of publication
1996
Pages
623 - 630
Database
ISI
SICI code
0377-2217(1996)95:3<623:CVIMSI>2.0.ZU;2-4
Abstract
The main objective of this paper is to investigate whether the US, UK and Japanese stock index futures markets have a similar volatility pro cess. For this purpose, the common feature analysis proposed by Engle and Susmel (1993) is applied to 1988-91 data after first removing pric e innovations using vector autoregression. The results suggest that th e three markets have a single common factor generating volatilities am ong markets.