Intraday volatility spillovers in the German equity index derivatives markets

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.