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- Title
Information Transmission Across Eurodollar Futures Markets.
- Authors
Lim, Kian-Guan; Terry, Eric; How, Desmond
- Abstract
Identical contracts traded at two distinct time zones but linked with a mutual offset system allow for round-the-clock trading. It is interesting to investigate the characteristics of information transmission in such a market. In this paper we employ GARCH specifications to model Eurodollar futures interest rate changes in IMM and in SIMEX. We employ the Causality-in-Variance test based on cross-correlation function to test hypotheses on the lead-lag relationships of volatilities between IMM and SIMEX. There is strong evidence of information transmission from IMM to SIMEX, and not vice-versa. However, during the 86 December till 88 September period, including contracts during the October 87 crash, there is evidence of causality also running from SIMEX to IMM.
- Publication
International Journal of Theoretical & Applied Finance, 1998, Vol 1, Issue 2, p235
- ISSN
0219-0249
- Publication type
Article
- DOI
10.1142/S0219024998000138