Abnormal Domestic Information Disseminate on Cross-listed Nikkei 225 Index Futures from Abroad?

Yen-Hsien Lee (), Tung-Yueh Pai () and Chien-Liang Chiu ()
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Yen-Hsien Lee: Department of Finance, Vanung Universit
Tung-Yueh Pai: Department of Banking & Finance, Tamkang University, Taipei, Taiwan
Chien-Liang Chiu: Department of Banking & Finance, Tamkang University, Taipei, Taiwan

Economics Bulletin, 2007, vol. 3, issue 60, 1-11

Abstract: This study extends the GARCH with autoregressive conditional jump intensity in Generalized Error Distribution (GARJI-GED) model to identify the fundamental characteristics of Nikkei 225 index and futures. Furthermore, this study applied the Granger causality test to investigate whether an abnormal information lead and lag relationship existed for the Nikkei 225, SIMEX-Nikkei 225 and OSE-Nikkei 225. Empirical results demonstrate that Nikkei 225 index and futures show jump phenomena, implying a jump process is necessary to match statistical features in spot and futures markets. Finally, the empirical results indicated that the abnormal information of the OSE-Nikkei 225 futures contract significantly leads the one of the SIMEX- Nikkei 225 and Nikkei 225 index.

JEL-codes: C2 C5 (search for similar items in EconPapers)
Date: 2007-11-14
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Citations: View citations in EconPapers (1)

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