Economics at your fingertips  

Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market

Sang Hoon Kang, Chongcheul Cheong and Seong-Min Yoon ()

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 8, 1795-1802

Abstract: This study provides empirical evidence of the relationship between spot and futures markets in Korea. In particular, the study focuses on the volatility spillover relationship between spot and futures markets by using three high-frequency (10 min, 30 min, and 1 h time-scales) intraday data sets of KOSPI 200 spot and futures contracts. The results indicate a strong bi-directional causal relationship between futures and spot markets, suggesting that return volatility in the spot market can influence that in the futures market and vice versa. Thus, the results indicate that new information is reflected in futures and spot markets simultaneously. This bi-directional causal relationship provides market participants with important guidance on understanding the intraday information transmission between the two markets. Thus, on a given trading day, there may be sudden and sharp increases or decreases in return volatility in the Korean stock market as a result of positive feedback and synchronization of spot and futures markets.

Keywords: Bi-directional causality; Positive feedback; Self-organized criticality; Synchronization; Volatility spillover (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.physa.2013.01.017

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Haili He ().

Page updated 2020-10-29
Handle: RePEc:eee:phsmap:v:392:y:2013:i:8:p:1795-1802