Is twin behavior of Nikkei 225 index futures the same?

被引：3

作者：

Lee, Ming-Chih

Chiu, Chien-Liang

Lee, Yen-Hsien

机构：

[1] Vanung Univ, Dept Finance, Chungli 32061, Tao Yuan, Taiwan

[2] Tamkang Univ, Dept Banking & Finance, Tamsui 25137, Taipei County, Taiwan

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2007年 / 377卷 / 01期

关键词：

jump-diffusion processes; ARJI; the twins; Granger causality test; LEAD-LAG RELATIONSHIP; STOCK INDEX; EXCHANGE-RATES; FOREIGN-EXCHANGE; ERROR-CORRECTION; PRICE DISCOVERY; JUMP DYNAMICS; CASH MARKET; RETURNS; VOLATILITY;

D O I：

10.1016/j.physa.2006.11.010

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

This study adopts the autoregressive conditional jump intensity (ARJI) model proposed by Chan and Maheu [J. Business Econ. Stat. 20 (2002) 377-389] to investigate the impact of news on SIMEX-Nikkei 225 and CME-Nikkei 225 (regards it as the twins). Empirical results demonstrate that the twins were captured by responses to various events; moreover, the twins have distinct jump intensity and risk. Finally, this investigation evaluates the lead-lag relationship between returns and jump behavior by the Granger causality test. Returns are based on unidirectional causality from two futures (the twins) to spot and feedback causality between the twins. Jump intensity reveal feedback causality between spot and the CME-Nikkei 225 and unidirectional causality from the CME-Nikkei 225 to in SIMEX-Nikkei 225. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：199 / 210

页数：12

共 41 条

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