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Dynamic Spillover Effects in Futures Markets: UK and US Evidence

Antonakakis, Nikolaos and Kizys, Renatas and Floros, Christos (2015) Dynamic Spillover Effects in Futures Markets: UK and US Evidence. International Review of Financial Analysis. ISSN 1057-5219

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Abstract

Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of futures trading and open interest in the UK and the US. Based on a dataset over the period February 25, 2008 to March 14, 2013, that encompasses both the global financial crisis and the Eurozone debt crisis, we find that spot and futures volatilities in the UK (US) are net receivers (net transmitters) of shocks to volume of futures trading and open interest. The analysis also sheds light on the dynamic interdependence of spot and futures market volatilities between the US and the UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature, however, they are affected by major economic events such as the global financial and Eurozone debt crisis. Several robustness checks endorse our main findings. Overall, these results have important implications for various market participants and financial sector regulators. (authors' abstract)

Item Type: Article
Additional Information: To see the final version of this paper please visit the publisher's website. Access to the published version requires a subscription. The original publication is available at www.elsevier.com.
Keywords: Spot and Futures Market / Volatility / Volume / Open Interest / Spillovers
Classification Codes: JEL C32, G11, G12, G15
Divisions: Departments > Volkswirtschaft > Internationale Wirtschaft
Version of the Document: Accepted for Publication
Variance from Published Version: Minor
Depositing User: Nikolaos Antonakakis
Date Deposited: 19 Mar 2015 14:23
Last Modified: 27 Mar 2015 22:20
Related URLs:
URI: http://epub.wu.ac.at/id/eprint/4492

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