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Information Transmission Across Eurodollar Futures Markets

Author

Listed:
  • Kian-Guan Lim

    (Department of Finance and Accounting, National University of Singapore, 10 Kent Ridge Crescent, Singapore 119260, Singapore)

  • Eric Terry

    (105–8 Passy Crescent, North York, ONT M3J3K9, Canada)

  • Desmond How

    (Fuji Bank, 1 Raffles Place #20–00, OUB Centre, Singapore 048616, Singapore)

Abstract

Identical contracts traded at two distinct time zones but linked with a mutual offset system allow for round-the-clock trading. It is interesting to investigate the characteristics of information transmission in such a market. In this paper we employ GARCH specifications to model Eurodollar futures interest rate changes in IMM and in SIMEX. We employ the Causality-in-Variance test based on cross-correlation function to test hypotheses on the lead-lag relationships of volatilities between IMM and SIMEX. There is strong evidence of information transmission from IMM to SIMEX, and not vice-versa. However, during the 86 December till 88 September period, including contracts during the October 87 crash, there is evidence of causality also running from SIMEX to IMM.

Suggested Citation

  • Kian-Guan Lim & Eric Terry & Desmond How, 1998. "Information Transmission Across Eurodollar Futures Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 1(02), pages 235-245.
    • Handle: RePEc:wsi:ijtafx:v:01:y:1998:i:02:n:s0219024998000138
    DOI: 10.1142/S0219024998000138
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