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
Citation
Lim, Kian Guan; Terry, Eric; and How, Desmond.
Information Transmission across Eurodollar Futures Markets. (1998). International Journal of Theoretical and Applied Finance. 1, (2), 235-245.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/2264
Additional URL
https://doi.org/10.1142/S0219024998000138
