REVISITING THE FINANCIAL VOLATILITY–DERIVATIVE PRODUCTS RELATIONSHIP ON EURONEXT.LIFFE USING A FREQUENCY DOMAIN ANALYSIS
Claudiu Albulescu (),
Daniel Goyeau and
Aviral Tiwari ()
Brussels Economic Review, 2013, vol. 56, issue 3-4, 349-364
ABSTRACT:The present paper analyses the relationship between the volume of transactions with futuresequity index products and the return volatility of their underlying assets. The study addressesthe case of five stock markets, members of the Euronext.liffe. We employ a frequency domainanalysis to identify the direction of the causality. In addition, we test the relationship betweenthe volume of futures contracts and both negative and positive shocks in terms of the historicalvolatility of index returns. Our results indicate the frequency causality only in the case ofBrussels financial market. For Lisbon, the causality is present, but it is not validated by theconfidence level tests, while for London, Paris and Amsterdam, no causality can be observed. Inthe case of Brussels, the causality is bidirectional, both in the short and long run frequencies.The futures equity index volume Granger-causes the positive shocks in terms of volatility in thelong run and the negative shocks in the short run.
Keywords: Volatility; futures index products; frequency domain Granger causality; Euronext (search for similar items in EconPapers)
JEL-codes: C32 F37 G12 G15 (search for similar items in EconPapers)
Note: Special Issue30th Symposium on Money, Banking and FinanceGuest editors: Christian Aubin, Noëlle Duport andDaniel Goyeau
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/1748 ... ESCUGOYEAUTIWARI.pdf ARTICLEALBULESCUGOYEAUTIWARI (application/pdf)
Working Paper: Revisiting The Financial Volatility – Derivative Products Relationship On Euronext. Liffe Using A Frequency Domain Analysis (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bxr:bxrceb:2013/174862
Ordering information: This journal article can be ordered from
http://hdl.handle.ne ... lb.ac.be:2013/174862
Access Statistics for this article
More articles in Brussels Economic Review from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Series data maintained by Benoit Pauwels ().