The paper examines the short-run spillover effects of daily stock returns and volatilities between the Samp;P 500 in the U.S. and Shanghai SSE composite in China. First, we find that a structural break occurred in the SSE stock return mean in December 2005. Second, by analyzing modified GARCH...

This article examines the hedging performance of the conventional OLS model and a variety of dynamic hedging models for the in-sample and out-of-sample periods of Korean daily KOSDAQ STAR (KOSTAR) index futures. We employ the rolling OLS and various popular multivariate GARCH models to estimate...