Kang, Sang Hoon; Cheong, Chongcheul; Yoon, Seong-Min - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 8, pp. 1795-1802
, the study focuses on the volatility spillover relationship between spot and futures markets by using three high … strong bi-directional causal relationship between futures and spot markets, suggesting that return volatility in the spot …, there may be sudden and sharp increases or decreases in return volatility in the Korean stock market as a result of positive …