Information Transmission across Eurodollar Futures Markets
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.
Business | Finance and Financial Management
International Journal of Theoretical and Applied Finance
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. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/2264