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Information Flows Between Eurodollar Spot and Futures Markets

Yin-Wong Cheung and Hung-Gay Fung
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Hung-Gay Fung: University of Missouri-St. Louis, U.S.A.

Multinational Finance Journal, 1997, vol. 1, issue 4, 255-271

Abstract: The pattern of information flows between Eurodollar spot and futures markets is examined using a robust two-step procedure. This procedure allows for conditional mean and variance dynamics as well as conditional heteroskedasticity. We find spot rates affect futures data and vice versa. In addition, there is evidence of volatility spillover between the two markets. Our results also indicate that information conveyed by data on futures tends to have a more persistent impact on both the mean and volatility of cash market price movements than the other way around.

Keywords: Granger causality; cointegration; Eurodollar spot and futures interest rates; information flow (search for similar items in EconPapers)
JEL-codes: C12 G15 G10 (search for similar items in EconPapers)
Date: 1997
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Handle: RePEc:mfj:journl:v:1:y:1997:i:4:p:255-271