Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets

Robles-Fernandez M. Dolores (), Nieto Luisa () and Fernandez M. Angeles ()
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Robles-Fernandez M. Dolores: Universidad Complutense de Madrid
Nieto Luisa: Universitat Jaume I
Fernandez M. Angeles: Universitat Jaume I
Authors registered in the RePEc Author Service: M. Dolores Robles Fernandez

Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 4, 28

Abstract: This paper analyses the nonlinear dynamic behaviour of intraday returns in the Eurostoxx50 cash and futures index which, given their relatively recent appearance, have not yet been analysed. We find that both return series show nonlinear individual dynamics that cannot exclusively be explained by the presence of conditional heteroskedasticity. Our findings also indicate nonlinear dynamic relationships between both market prices. The adjustment process to mispricing errors is nonlinear and shows periods of explosive behaviour. Finally, we distinguish between linear and nonlinear Granger causality and establish that the information flow is bi-directional both in the linear as well as in the nonlinear sphere.

Date: 2004
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DOI: 10.2202/1558-3708.1106

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