Co-movements and contagion between international stock index futures markets
Claudiu Albulescu (),
Daniel Goyeau and
Aviral Tiwari
Additional contact information
Daniel Goyeau: University of Poitiers
Empirical Economics, 2017, vol. 52, issue 4, No 16, 1529-1568
Abstract:
Abstract In this paper, we explore the co-movements and contagion between six international stock index futures markets. In contrast to the empirical studies which dominate the literature and focus on the case of spot markets, relatively little is known about the returns and the volatility dynamics of the futures markets. To address this deficiency, we employ a time–frequency approach and discover that the co-movements between the international markets manifest especially in the long run. Nevertheless, the contagion phenomenon associated with the very short-run horizon is present in particular in the case of the European markets, due to their higher level of integration. The rolling wavelet correlation increases after severe turbulence episodes, but fluctuates over time and across frequencies. Our findings can guide the international investors in stock index futures markets to accurately diversify their portfolio in crisis periods.
Keywords: Stock index futures; Co-movements; Contagion; Rolling wavelet correlation; Portfolio diversification; Continuous Wavelet Transform (search for similar items in EconPapers)
JEL-codes: C49 F36 G11 G15 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)
Downloads: (external link)
http://link.springer.com/10.1007/s00181-016-1113-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
Related works:
Working Paper: Co-movements and contagion between international stock index futures markets (2016)
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:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1113-5
Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2
DOI: 10.1007/s00181-016-1113-5
Access Statistics for this article
Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund
More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().