Wu, Chunchi; Li, Jinliang; Zhang, Wei - In: Journal of Futures Markets 25 (2005) 6, pp. 553-585
This paper examines short‐run information transmission between the U.S. and U.K. markets using the S&P 500 and FTSE 100 index futures. Ultrahighfrequency futures data are employed—which have a number of advantages over the low‐frequency spot data commonly used in previous studies—in...