Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets

Juan Angel Lafuente

DEE - Working Papers. Business Economics. WB from Universidad Carlos III de Madrid. Departamento de Economía de la Empresa

Abstract: This paper analyses the intraday lead and lag relationships between return and volatilities in the Ibex 35 spot and futures markets. With hourly data we jointly perform the analysis estimating a bivariate error correction model. with GARCH perturbations, which captures stochastically the presence of an intraday U shaped curve for both spot and futures volatility. Consistent with previous studies for U .S., our findings show an unidirectional causal relationship from the futures to spot market, both in returns and volatilities. This empirical pattern suggests that futures markets leads spot market to incorporate the arrival of new information

Keywords: Futures; Stock; index; GARCH; Causality (search for similar items in EconPapers)
JEL-codes: C51 G13 G14 (search for similar items in EconPapers)
Date: 2000-01
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wbrepe:9849

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