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- W2357055635 abstract "This paper studies the effects of the Nikkei225 stock index futures on the volatility of the underlying spot market.Using daily return series from Jan 4,1984 to Sep 30,2009,we test the three models of EGARCH,TGARCH and DCC-GARCH.The results indicate that (1) the introduction of the stock index futures in OSE increased the volatility of the spot market;(2) there exist asymmetric effects where bad news have more impacts on the volatility than good news;(3) the volatilities of the Nikkei225 index futures and the underlying spot market are highly correlated and interactive,and the 2007 subprime crisis adds the correlation of the volatilities." @default.
- W2357055635 created "2016-06-24" @default.
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- W2357055635 date "2010-01-01" @default.
- W2357055635 modified "2023-09-26" @default.
- W2357055635 title "Correlation of Volatility between Nikkei225 Index Futures and the Spot Market" @default.
- W2357055635 hasPublicationYear "2010" @default.
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