Intraday Information Transmission in the South African Equities Market

Kerry McCullough ()
Additional contact information
Kerry McCullough: University of KwaZulu-Natal

The African Finance Journal, 2018, vol. 20, issue 2, 1-20

Abstract: Price discovery is an integral function of financial exchanges, while volatility is a primary concern of market participants. Few studies consider both within an intraday equities context. This paper examines the FTSE/JSE Top 40 index and index futures market, and determines this market’s: (i) price discovery process; (ii) respective contributions to the price discovery process; and (iii) volatility spillover process. Volatility spillover is estimated with dynamic conditional correlation GARCH models. Price discovery is futures-led (5-minute interval) – although bi-directional in shorter intervals. Common Factor Weights show that price discovery is dominated by the futures market. Volatility spillover is a bi-directional process.

Keywords: Information Transmission; Price Discovery; Volatility Spillover; FTSE/JSE Top 40; and Intraday (search for similar items in EconPapers)
JEL-codes: C32 G13 G14 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.journals.co.za/ej/ejour_finj.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:20:y:2018:i:2:p:1-20

Access Statistics for this article

More articles in The African Finance Journal from Africagrowth Institute Contact information at EDIRC.
Bibliographic data for series maintained by Kirk De Doncker ().