The relationship between the S&P 500 spot and futures indices: brothers or cousins?
This paper applies the GARJI model to investigate the impact of news on the S&P 500 spot and index futures. We show their reactions are dissimilar to good or bad news. Hence, though they are like brothers, they are cousins. Besides, the persistence and sensitivity parameters for the arrival of jump events are quite high and significant. It means a high probability of many jumps today seems to be followed by a high probability of many jumps tomorrow. We suggest it is necessary to consider the time series dynamics in the jump size distribution when studying the impact of news on financial markets.
Year of publication: |
2006
|
---|---|
Authors: | Chiu, Chien-Liang ; Chiang, Shu-Mei ; Kao, Feng |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 16.2006, 5, p. 405-412
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
The relationship between the S&P 500 spot and futures indices : brothers or cousins?
Chiu, Chien-liang, (2006)
-
The relationship between the S&P 500 spot and futures indices: brothers or cousins?
Chiu, Chien-Liang, (2006)
-
Permanent and transitory components in the Chinese stock market: the ARJI-trend model
Chiang, Shu-mei, (2009)
- More ...