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Abnormal Domestic Information Disseminate on Cross-listed Nikkei 225 Index Futures from Abroad?

Author

Listed:
  • Yen-Hsien Lee

    (Department of Finance, Vanung Universit)

  • Tung-Yueh Pai

    (Department of Banking & Finance, Tamkang University, Taipei, Taiwan)

  • Chien-Liang Chiu

    (Department of Banking & Finance, Tamkang University, Taipei, Taiwan)

Abstract

This study extends the GARCH with autoregressive conditional jump intensity in Generalized Error Distribution (GARJI-GED) model to identify the fundamental characteristics of Nikkei 225 index and futures. Furthermore, this study applied the Granger causality test to investigate whether an abnormal information lead and lag relationship existed for the Nikkei 225, SIMEX-Nikkei 225 and OSE-Nikkei 225. Empirical results demonstrate that Nikkei 225 index and futures show jump phenomena, implying a jump process is necessary to match statistical features in spot and futures markets. Finally, the empirical results indicated that the abnormal information of the OSE-Nikkei 225 futures contract significantly leads the one of the SIMEX- Nikkei 225 and Nikkei 225 index.

Suggested Citation

  • Yen-Hsien Lee & Tung-Yueh Pai & Chien-Liang Chiu, 2007. "Abnormal Domestic Information Disseminate on Cross-listed Nikkei 225 Index Futures from Abroad?," Economics Bulletin, AccessEcon, vol. 3(60), pages 1-11.
    • Handle: RePEc:ebl:ecbull:eb-07c50004
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    Cited by:

    1. Grinets, Irina & Kaznacheev, Peter, 2014. "The Role of Innovative Development in Unconventional Hydrocarbon Exploitation in the Context of the Shale Gas Revolution in the USA," Research Papers kazn02, Russian Presidential Academy of National Economy and Public Administration.

    More about this item

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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