Dynamic spillover effects in futures markets: UK and US evidence

Nikolaos Antonakakis, Christos Floros and Renatas Kizys

International Review of Financial Analysis, 2016, vol. 48, issue C, 406-418

Abstract: Previous studies on spillover effects in futures markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures markets volatilities, volume of futures trading and open interest in the UK and the US. Based on a dataset over the period February 25, 2008 to March 14, 2013, that encompasses both the global financial crisis and the Eurozone debt crisis, we find that spot and futures volatilities in the UK (US) are net receivers (net transmitters) of shocks to volume of futures trading and open interest. The analysis also sheds light on the dynamic interdependence of spot and futures markets volatilities between the US and the UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature, however, they are affected by major economic events such as the global financial and Eurozone debt crises. Several robustness checks endorse our main findings. Overall, these results have important implications for various market participants and financial sector regulators.

Keywords: Spot and futures markets; Volatility; Volume; Open interest; Spillovers (search for similar items in EconPapers)
JEL-codes: C32 G11 G12 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:48:y:2016:i:c:p:406-418

DOI: 10.1016/j.irfa.2015.03.008

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