Information transmission across currency futures markets: Evidence from frequency domain tests

Cetin Ciner

International Review of Financial Analysis, 2011, vol. 20, issue 3, 134-139

Abstract: We investigate return and volatility spillovers across the currency futures markets utilizing recently developed frequency domain tests. Our analysis permits to differentiate between permanent and transitory linkages between the markets by examining high and low frequency dynamics. We identify significant informational dependencies between the euro, yen, Swiss franc and pound futures markets, which should be important for market participants and policy makers.

Keywords: Currency; futures; Volatility; spillover; Frequency; domain (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:20:y:2011:i:3:p:134-139

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