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- Title
VOLATILITY TRANSMISSION AND PATTERNS IN BUND FUTURES.
- Authors
Franses, Philip Hans; Van Ieperen, Reinoud; Kofman, Paul; Martens, Martin; Menkveld, Bert
- Abstract
We analyze intraday volatility behavior for the Bund futures contract that is traded simultaneously at two competing exchanges. We investigate the transmission of volatility between the exchanges. We find that the lead/lag relations are restricted to a few minutes and do not reveal a dominant leader. We then analyze patterns in intraday volatility. We find that volatility behaves similarly at both exchanges; i.e., it decreases from the opening until early afternoon and increases thereafter. The same pattern is detected in explanatory variables such as traded volume and time-between-trades.
- Subjects
FINANCIAL research; FUTURES market; MARKET volatility; FINANCIAL markets; COMMODITY exchanges; INVESTMENTS; HEDGING (Finance)
- Publication
Journal of Financial Research, 1997, Vol 20, Issue 4, p459
- ISSN
0270-2592
- Publication type
Article
- DOI
10.1111/j.1475-6803.1997.tb00260.x