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Price Dynamics and Volatility Transmission in Cross-Listed Equity Index Futures Markets
thesisposted on 2016-11-05, 00:00 authored by Suqin Gu
This thesis explores price dynamics and volatility transmission in onshore and offshore equity index futures markets. The sample covers 10 most actively cross-traded equity index futures and 4 underlying indices at 5 major exchanges. Multiple statistical methods are employed to obtain results that are robust and consistent. For price dynamics, trading volume is found to be a critical factor in determining the leading market. For volatility transmission, there is significant volatility spillover between the markets. The squared deviations from long-run price equilibrium have a significant impact on the conditional volatility. This study extends prior research of unilateral lead and lag relationship in the price dynamics. It offers comprehensive and consistent explanations to summarize non-uniform prior findings. Moreover, this study supplies the literature with detailed analysis of the recently developed equity index futures.
AdvisorStokes, Houston H.
Degree GrantorUniversity of Illinois at Chicago
Committee MemberBassett, Gilbert W. Rosenthal, Dale Sclove, Stanley L. Lee, Jin Man