Volatility Patterns and Spillovers in Bund Futures

Philip Hans Franses, Reinoud van Ieperen, Paul Kofman, Martin Martens and Bert Menkveld

No 267633, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In this paper we examine intraday volatility of the Bund future, which is traded at the London International Financial Futures Exchange (LIFFE) and the Deutsche Terminborse (DTB). Our objective is two-fold. First, we investigate spillovers in volatility between the exchanges. Such spillovers are found to occur only within one minute and they do not reveal any systematic lead of one exchange on the other. Second, we study patterns in intraday volatility. Our results indicate that volatility decreases from the opening hour until early afternoon and rises thereafter. The same pattern is detected in explanatory variables like traded volume and time-between-trades. Bid-ask spreads, however, seem to be constant throughout the day.

Keywords: Financial Economics; Research and Development/Tech Change/Emerging Technologies; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 30
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:267633

DOI: 10.22004/ag.econ.267633

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