Information Transmission across Eurodollar Futures Markets

Publication Type

Journal Article

Publication Date

1998

Abstract

Identical contracts traded at two distinct time zones but linked with a mutual offset system allow for round-the-clock trading. It is interesting to investigate the characteristics of information transmission in such a market. In this paper we employ GARCH specifications to model Eurodollar futures interest rate changes in IMM and in SIMEX. We employ the Causality-in-Variance test based on cross-correlation function to test hypotheses on the lead-lag relationships of volatilities between IMM and SIMEX. There is strong evidence of information transmission from IMM to SIMEX, and not vice-versa. However, during the 86 December till 88 September period, including contracts during the October 87 crash, there is evidence of causality also running from SIMEX to IMM.

Discipline

Business | Finance and Financial Management

Research Areas

Quantitative Finance

Publication

International Journal of Theoretical and Applied Finance

Volume

1

Issue

2

First Page

235

Last Page

245

ISSN

0219-0249

Identifier

10.1142/S0219024998000138

Publisher

World Scientific

Additional URL

https://doi.org/10.1142/S0219024998000138

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