Volatility Patterns and Spillovers in Bund Futures

In this paper we examine intraday volatility of the Bund future, which is traded at the London International Financial Futures Exchange (LIFFE) and the Deutsche Terminborse (DTB). Our objective is two-fold. First, we investigate spillovers in volatility between the exchanges. Such spillovers are found to occur only within one minute and they do not reveal any systematic lead of one exchange on the other. Second, we study patterns in intraday volatility. Our results indicate that volatility decreases from the opening hour until early afternoon and rises thereafter. The same pattern is detected in explanatory variables like traded volume and time-between-trades. Bid-ask spreads, however, seem to be constant throughout the day.


Issue Date:
Jul 01 1994
Publication Type:
Working or Discussion Paper
Record Identifier:
http://ageconsearch.umn.edu/record/267633
Language:
English
Total Pages:
30
Series Statement:
Working Paper No. 16/94




 Record created 2018-02-01, last modified 2018-02-02

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)