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Intraday volatility spillovers in the German equity index derivatives markets

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  • G. Geoffrey Booth
  • Raymond So

Abstract

This paper examines the intraday information transmission process among the Deutscher Aktienindex (DAX), DAX futures and DAX options in Germany. Using the extreme value volatility approach developed in Booth et al. (1997, Management Science, 43, 1564-1576), the volatilities of the three markets are found to spill over to one another. These results support the notion that the three index assets are informationally linked, and the three markets should be considered a complete system for intraday information processing.

Suggested Citation

  • G. Geoffrey Booth & Raymond So, 2003. "Intraday volatility spillovers in the German equity index derivatives markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 487-494.
    • Handle: RePEc:taf:apfiec:v:13:y:2003:i:7:p:487-494
    DOI: 10.1080/09603100210161974
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    Cited by:

    1. Wölfle, Marco, 2007. "Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries," ZEW Discussion Papers 07-067, ZEW - Leibniz Centre for European Economic Research.
    2. S. Wong & K. Chau & C. Yiu, 2007. "Volatility Transmission in the Real Estate Spot and Forward Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 281-293, October.
    3. Wen-Hsiu Kuo & Hsinan Hsu & Min-Hsien Chiang, 2008. "Foreign investment, regulation, volatility spillovers between the futures and spot markets: evidence from Taiwan," Applied Financial Economics, Taylor & Francis Journals, vol. 18(5), pages 421-430.
    4. Mustafa Okur & Emrah Cevik, 2013. "Testing Intraday Volatility Spillovers in Turkish Capital Markets: Evidence from Ise," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 26(3), pages 99-116, January.

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