The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework

The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis... The main purpose of the study is to explore the dynamic relationship among the TAIEX spot, futures, and options markets by proposing an innovative multivariable GARCH-M MSKST (Multivariate Skewed-Student distribution) model. In addition to the considerable feedback effects of these three markets in terms of return transmissions, a significant bidirectional relationship is also found in volatility transmissions between futures and spot markets, and unidirectional spillover occurs from futures to options markets. Specifically, futures are found to exert the most influence on spot and options, and play an important role in disclosing information and pricing discovery to the other two markets. Comparing the magnitude of the effect the positive and negative basis has on spot prices, it is evident that positive basis has a greater impact on the spot market than negative basis does. Of interest, our study shows that positive basis has even more effect than negative basis does on the conditional variance of return on spot and futures. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework

Loading next page...
 
/lp/springer_journal/the-dynamics-in-the-spot-futures-and-call-options-with-basis-QFySUcHLW9
Publisher
Springer US
Copyright
Copyright © 2007 by Springer Science+Business Media, LLC
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-007-0050-y
Publisher site
See Article on Publisher Site

Abstract

The main purpose of the study is to explore the dynamic relationship among the TAIEX spot, futures, and options markets by proposing an innovative multivariable GARCH-M MSKST (Multivariate Skewed-Student distribution) model. In addition to the considerable feedback effects of these three markets in terms of return transmissions, a significant bidirectional relationship is also found in volatility transmissions between futures and spot markets, and unidirectional spillover occurs from futures to options markets. Specifically, futures are found to exert the most influence on spot and options, and play an important role in disclosing information and pricing discovery to the other two markets. Comparing the magnitude of the effect the positive and negative basis has on spot prices, it is evident that positive basis has a greater impact on the spot market than negative basis does. Of interest, our study shows that positive basis has even more effect than negative basis does on the conditional variance of return on spot and futures.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Oct 23, 2007

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create lists to
organize your research

Export lists, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off