statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which …

investigate the impact of index futures trading on the volatility of the spot market in China. Our three main findings are as … follows: (1) the launch of index futures does not decrease the volatility of the spot market; (2) there is a decrease in …

The aim of this work is to investigate the impact of the introduction of index futures on the volatility of the … underlying Turkish spot market. For this purpose, symmetric and asymmetric conditional-volatility models have been employed by … changes in the structure of volatility in the ISE30 spot market, following the onset of futures trading. It has also been …

the volatility of US stock market during the subprime crisis is significantly transmitted to Asian and European financial … markets. Moreover, UK and Swiss financial markets present an important role in emitting volatility to Asian markets. In …. All residuals showed enhanced volatility during the financial crisis period of mid 2007-2008. Moreover, the cross …

The overarching aim of the present paper is to investigate the pattern of returns and volatility in the US and the UK …

market to New York, Pairs and Frankfurt stock markets. Within the European stock markets, there are unidirectional volatility … spillover effects from Frankfurt to Paris and from Paris to London. Volatility increases induced by bad news are transmitted … more strongly than volatility declines. …

that the increased volatility in agricultural prices is caused by the exogenous crude oil prices. For the analysis the data … condition; iii) no clear evidence of causality between oil and Italian agri-commodities, suggesting that the oil volatility is …

and volatility of the Shanghai market were higher. The rates of returns in the two markets were approximately serially … uncorrelated and mutually uncorrelated. Volatility, as measured by the absolute change in the rate of return, has positive serially … correlations in both markets as expected, but the autoregressions are temporarily unstable. Surprisingly the volatility measures of …