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Information Role of U.S. Futures Trading in a Global Financial Market

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  • Hung‐Gay Fung
  • Wai K. Leung
  • Xiaoqing Eleanor Xu

Abstract

Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the patterns of information flows for three financial futures contracts that are dual‐listed on U.S. and Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollar–yen currency futures). The results indicate that the U.S. market plays a leading role in terms of pricing‐information transmission across markets. In terms of volatility spillover across markets, however, foreign markets seem to play a similar role (e.g., Nikkei Index futures) or even a more significant role than the United States (e.g., Eurodollar futures in Singapore and dollar–yen currency futures in Japan). © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:1071–1090, 2001

Suggested Citation

  • Hung‐Gay Fung & Wai K. Leung & Xiaoqing Eleanor Xu, 2001. "Information Role of U.S. Futures Trading in a Global Financial Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(11), pages 1071-1090, November.
    • Handle: RePEc:wly:jfutmk:v:21:y:2001:i:11:p:1071-1090
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    Cited by:

    1. Sanjay Sehgal & Wasim Ahmad & Florent Deisting, 2015. "An investigation of price discovery and volatility spillovers in India’s foreign exchange market," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(2), pages 261-284, May.
    2. Sheng-Yung Yang, 2007. "Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities," Applied Financial Economics, Taylor & Francis Journals, vol. 17(10), pages 837-853.
    3. Hung-Gay Fung & Liuqing Mai & Lin Zhao, 2016. "The effect of nighttime trading of futures markets on information flows: evidence from China," China Finance and Economic Review, Springer, vol. 4(1), pages 1-16, December.
    4. Kao, Erin H. & Ho, Tsung-wu & Fung, Hung-Gay, 2015. "Price linkage between the US and Japanese futures across different time zones: An analysis of the minute-by-minute data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 321-336.
    5. Sobti, Neharika & Sehgal, Sanjay & Ilango, Balakrishnan, 2021. "How do macroeconomic news surprises affect round-the-clock price discovery of gold?," International Review of Financial Analysis, Elsevier, vol. 78(C).

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