Co-movements and contagion between international stock index futures markets

Claudiu Albulescu (), Daniel Goyeau () and Aviral Kumar Tiwaric
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Daniel Goyeau: CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière - UP - Université de Poitiers = University of Poitiers, Axe 2 (2011-2016) : « Marchés, Cultures de consommation, Autonomie et Migrations » (MSHS Poitiers) - MSHS de Poitiers - Maison des sciences de l'homme et de la société de Poitiers - UP - Université de Poitiers = University of Poitiers - CNRS - Centre National de la Recherche Scientifique, CPER INSECT - CPER "INnovation Sociale, Economique et Culturelle dans des Territoires en mutation" (MSHS Poitiers) - MSHS de Poitiers - Maison des sciences de l'homme et de la société de Poitiers [UAR 3565] - UP - Université de Poitiers = University of Poitiers - CNRS - Centre National de la Recherche Scientifique
Aviral Kumar Tiwaric: Faculty of Management - IBS Hyderabad - IFHE University
Authors registered in the RePEc Author Service: Aviral Kumar Tiwari

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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: Co-movements; Contagion; Rolling wavelet correlation; Portfolio; diversification; Continuous Wavelet Transform; Stock index futures; Portefeuilles; Co-mouvements; Contagion financière; Indice boursier; Diversification financière (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

Published in Empirical Economics, 2016, pp.1-40. ⟨10.1007/s00181-016-1113-5⟩

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Journal Article: Co-movements and contagion between international stock index futures markets (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01388618

DOI: 10.1007/s00181-016-1113-5

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