Cheung, Y., and Ng, L.K.,"The Dynamics of S&P 500 Index and S&P 500 Futures Intraday Price Volatilities." The Review o f Futures Markets , Vol. 9 No. 2 (1990), pp. 458-486.  Home/Search   Document Not in Database   Summary   Related Articles

....Engle and Ito (1994) use daily open and closing prices, and King and Wadhwani (1990) use hourly prices around the 1987 crash to validate volatility spillovers among these markets. 2 Stock index futures versus cash index volatility provide higher frequency data to examine volatility transmission. Cheung and Ng (1990) use 15 minute quotes for the S P 500 contrac t to find that futures volatility leads cash market volatility in the first 15 minutes of trading. Chan, Chan and Karolyi (1991) use 5 minute prices fo r the S P 500 and MMI contracts and find that vo latility changes in the respective futures (cash) ....

....issues. This serial correlation from the smoothing effect of using old prices results in downwardly biased volatility estimates for the cash indices. Thus, the futures transactions data provide a more accurate high frequency measure of volatility than available for the cash indices. Cheung and Ng (1990), Herbst and Maberly (1987) Herbst, McCormack and West (1987) and Kawaller, Koch, and Koch (1987) among others, show that futures price changes lead cash stock indices price changes by 15 to 30 minutes. 3 The purpose of this paper is to apply a different methodology, cross spectral ....

Cheung, Y., and Ng, L.K.,"The Dynamics of S&P 500 Index and S&P 500 Futures Intraday Price Volatilities." The Review o f Futures Markets , Vol. 9 No. 2 (1990), pp. 458-486.

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