Linear and Nonlinear Intraday Dynamics between the Eurostoxx-50

Luisa Nieto (), M. Dolores Robles Fernandez and Ángeles Fernández ()
Additional contact information
Luisa Nieto: Dpt.Finanzas y Contabilidad, Universitat Jaume I
Ángeles Fernández: Dpt.Finanzas y Contabilidad, Universitat Jaume I

Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: We set out to analyse the linear and nonlinear dynamic behaviour of intraday returns in the Eurostoxx 50 index and its futures contract which, given their relatively recent appearance, have not yet been analysed. We shall develop our study both from an individual and from a combined approach. The results of the BDS test indicate that the variables are not iid and that the detected nonlinear individual dynamics cannot solely be explained by the presence of conditional heteroskedasticity. For the study of the dynamic relationships between both markets’ prices, we allow the adjustment process to the imbalance of the long term cointegration relationship to be nonlinear. We find cointegration with a nonlinear adjustment process. Finally, we show that the information flow is bidirectional both in the linear as well as in the nonlinear sphere.

Keywords: Nonlinearity; BDS; Nonlinear error correction mechanism; Nonlinear causality; Eurostoxx50; Index futures. (search for similar items in EconPapers)
Pages: pages 28
Date: 2002
New Economics Papers: this item is included in nep-eec, nep-ets and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://eprints.ucm.es/id/eprint/7659/1/0208.pdf (application/pdf)

Related works:
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:ucm:doicae:0208

Ordering information: This working paper can be ordered from
Facultad de Ciencias Económicas y Empresariales. Pabellón prefabricado, 1ª Planta, ala norte. Campus de Somosaguas, 28223 - POZUELO DE ALARCÓN (MADRID)
https://www.ucm.es/f ... -de-trabajo-del-icae

Access Statistics for this paper

More papers in Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Contact information at EDIRC.
Bibliographic data for series maintained by Águeda González Abad ().