Price Dynamics and Volatility Transmission in Cross-Listed Equity Index Futures Markets
thesisposted on 05.11.2016, 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.