Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market-Reference-Cited by-同舟云学术

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Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market

Published:2013-04 Issue:8 Volume:392 Page:1795-1802
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Kang Sang Hoon,Cheong Chongcheul,Yoon Seong-Min

Funder

National Research Foundation granted by the Korean Government

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference48 articles.

1. Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil;Wang;Physica A,2011

2. A study of correlations between crude oil spot and futures markets: a rolling sample test;Liu;Physica A,2011

3. An empirical study on information spillover effects between the Chinese copper futures market and spot market;Liu;Physica A,2008

4. Is twin behavior of Nikkei 225 index futures the same?;Lee;Physica A,2007

5. Efficient capital markets: a review of theory and empirical work;Fama;Journal of Finance,1970

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