Information Flows Between Eurodollar Spot and Futures Markets

Yin-Wong Cheung and Hung-Gay Fung
Additional contact information
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 G10 G15 (search for similar items in EconPapers)
Date: 1997
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.mfsociety.org/modules/modDashboard/uplo ... 31o3db2neab177n3.pdf
http://www.mfsociety.org/modules/modDashboard/uplo ... ogleScholar/641.html

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: https://EconPapers.repec.org/RePEc:mfj:journl:v:1:y:1997:i:4:p:255-271

Access Statistics for this article

Multinational Finance Journal is currently edited by Panayiotis C. Andreou

More articles in Multinational Finance Journal from Multinational Finance Journal Contact information at EDIRC.
Bibliographic data for series maintained by Theodossiou Panayiotis ().