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題名 Causality Effect of Returns, Continuous Volatility and Jumps: Evidence from the U.S. and European Index Futures Markets
作者 廖四郎
Liao, Szu-Lang
林士貴
Lin, Shih-Kuei
廖志偉
Liao, Chih-Wei
貢獻者 金融系
關鍵詞 High-frequency Trading; Leverage Effect; Volatility Feedback Effect; Causality; Jumps
日期 2017-06
上傳時間 14-May-2018 17:28:59 (UTC+8)
摘要 This study examines the intraday causality between returns, volatility and jumps in the U.S. and European index futures markets during the financial crisis from 2007 to 2009. We examine whether during the financial crisis, the S&P 500, Dow Jones, Nasdaq, FTSE, DAX and CAC index futures markets have a significant impact on the leverage and volatility feedback effects, as well as whether these interactions also occur between returns and jumps. The intraday behavior of 1-min, 5-min and 1-hour index futures returns, volatility and jumps is examined by employing data from the period between January 2003 and May 2014. Thus, the study covers the major upward and downward trends in the market. Our empirical data indicate the main leverage and volatility feedback effects caused by intraday volatility and jump clustering significantly increased after the financial crisis. The effects with different sampling frequencies before, during and after the financial crisis show that jumps have increased the volatility feedback effect, especially when in a 5-min and 60-min sampling frequency is used. These findings have important implications for both policymakers and investors.
關聯 International Research Journal of Finance and Economics, No.Issue 162, pp.7-23
資料類型 article
dc.contributor 金融系zh_TW
dc.creator (作者) 廖四郎zh_TW
dc.creator (作者) Liao, Szu-Langen_US
dc.creator (作者) 林士貴zh_TW
dc.creator (作者) Lin, Shih-Kueien_US
dc.creator (作者) 廖志偉zh_TW
dc.creator (作者) Liao, Chih-Weien_US
dc.date (日期) 2017-06
dc.date.accessioned 14-May-2018 17:28:59 (UTC+8)-
dc.date.available 14-May-2018 17:28:59 (UTC+8)-
dc.date.issued (上傳時間) 14-May-2018 17:28:59 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/117163-
dc.description.abstract (摘要) This study examines the intraday causality between returns, volatility and jumps in the U.S. and European index futures markets during the financial crisis from 2007 to 2009. We examine whether during the financial crisis, the S&P 500, Dow Jones, Nasdaq, FTSE, DAX and CAC index futures markets have a significant impact on the leverage and volatility feedback effects, as well as whether these interactions also occur between returns and jumps. The intraday behavior of 1-min, 5-min and 1-hour index futures returns, volatility and jumps is examined by employing data from the period between January 2003 and May 2014. Thus, the study covers the major upward and downward trends in the market. Our empirical data indicate the main leverage and volatility feedback effects caused by intraday volatility and jump clustering significantly increased after the financial crisis. The effects with different sampling frequencies before, during and after the financial crisis show that jumps have increased the volatility feedback effect, especially when in a 5-min and 60-min sampling frequency is used. These findings have important implications for both policymakers and investors.en_US
dc.format.extent 358887 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) International Research Journal of Finance and Economics, No.Issue 162, pp.7-23zh_TW
dc.subject (關鍵詞) High-frequency Trading; Leverage Effect; Volatility Feedback Effect; Causality; Jumpsen_US
dc.title (題名) Causality Effect of Returns, Continuous Volatility and Jumps: Evidence from the U.S. and European Index Futures Marketszh_TW
dc.type (資料類型) article