Kawaller, I.G., Koch, P.D., and Koch, T.W., "Intraday Relationships Between Volatility in S&P 500 Futures Prices and Volatility in the S&P 500 Index." Journal of Banking and Finance, Vol. 14 No.2/3 (August-October 1990), pp. 373-397.  Home/Search   Document Not in Database   Summary   Related Articles

.... a daily basis, as well as the direction and magnitude of the transmission of these market movements, include Fisher and Palasvirta (1990) Philippatos, Christofi and Christofi (1983) and Hilliard (1979) 3 Thus, while futures price changes lead cash changes, Chan, Chan and Karolyi (1991) and Kawaller, Koch, and Koch (1990) show that the volatility relationship can go in either direction. 2 futures data to show that vo latility i n one currency futures contract is transmitted to other currency futures, although the pattern is very diverse. Studies of the transmission of volati lity among international stock ....

....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) market predict changes in the cash (futures) market i.e. the relationship goes in both directions. Kawaller, Koch, and Koch (1990) calculate 30 minute volatility measures based on minute to minute price changes fo r the S P 500 futures and cash markets. They find no robust systematic pattern of futures volatility leading cash market vo latility, or vice versa, by using Granger causa lity tests. Therefore, sometimes futures ....

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Kawaller, I.G., Koch, P.D., and Koch, T.W., "Intraday Relationships Between Volatility in S&P 500 Futures Prices and Volatility in the S&P 500 Index." Journal of Banking and Finance, Vol. 14 No.2/3 (August-October 1990), pp. 373-397.

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