Modelling Linkages Between Australian Financial Futures Markets

Sangbae Kim, Francis In and Christopher Viney
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Sangbae Kim: Department of Accounting and Finance, Monash University, Clayton VIC, 3168.
Francis In: Department of Accounting and Finance, Monash University, Clayton VIC, 3168.
Christopher Viney: School of Accounting and Finance, Deakin University, Burwood VIC, 3125.

Australian Journal of Management, 2001, vol. 26, issue 1, 19-34

Abstract: This paper investigates the dynamic interdependence of the Australian financial futures markets. We develop a multivariate EGARCH model to investigate linkages and stochastic volatility interactions between the 10-year Treasury bond, 90-day bank-accepted bill, and the All Ordinaries share price index futures markets. In this analysis, our empirical results strongly suggest that significant volatility interactions are evident across the three markets.

Keywords: DYNAMIC INTERDEPENDENCE; AUSTRALIAN FINANCIAL FUTURES MARKETS; STOCHASTIC VOLATILITY; MULTIVARIATE EGARCH MODELw (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:26:y:2001:i:1:p:19-34

DOI: 10.1177/031289620102600102

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