Intraday volatility spillovers in the Germany equity index derivatives markets

Intraday volatility spillovers in the Germany equity index derivatives markets

This paper examines the intraday information transmission process among the Deutscher Aktienindex (DAX), DAX futures and DAX options in Germany. Using the extreme value volatility approach developed in Booth et al. (1997, Management Science, 43, 1564-76), the volatilities of the three markets are fo...

Full description

Saved in:
Bibliographic Details
Published in:Applied financial economics Vol. 13; no. 7; p. 487
Main Authors: Booth, G Geoffrey, So, Raymond W
Format: Journal Article
Language:English
Published: London Routledge, Taylor & Francis Group 01-07-2003
Subjects:
Derivatives
Information dissemination
Stock exchanges
Studies
Volatility
Germany
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This paper examines the intraday information transmission process among the Deutscher Aktienindex (DAX), DAX futures and DAX options in Germany. Using the extreme value volatility approach developed in Booth et al. (1997, Management Science, 43, 1564-76), the volatilities of the three markets are found to spill over to one another. These results support the notion that the three index assets are informationally linked, and the three markets should be considered a complete system for intraday information processing. [PUBLICATION ABSTRACT]
ISSN:0960-3107
1466-4305