Micro-mechanism of Spillover Effects from A Developed Futures Market to An Emerging One
This paper provides a theoretical micro-mechanism analysis of return and volatility spillover effects from a developed futures market to an emerging one with investment obstacles.The spillover effects on equilibrium futures price and investorstrading strategies in the emerging market are focused on.Our findings show that the equilibrium futures price and investorstrading strategies are both affected significantly by the scale of informed traders and the spillovers degree that the informed expect.If there are both return and volatility spillovers,then ignoting volatility spillover,investors will make improper investment decisions so that the futures contracts can be overpriced.
Spillover Effect Futures Market Information Transmission Emerging Market
Kuifang Zheng Liyan Han Li Yang
Postdoctor Workstation of China Construction Bank and Institute of Finance and Banking,Chinese Acade School of Economics and Management,Beijing University of Aeronautics and Astronautics School of Banking and Finance,University of New South Wales,Australia
国际会议
长沙
英文
98-104
2008-10-28（万方平台首次上网日期，不代表论文的发表时间）