政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/117163

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113648/144635 (79%)
Visitors : 51621342 Online Users : 481

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/117163

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/117163

Title:	Causality Effect of Returns, Continuous Volatility and Jumps: Evidence from the U.S. and European Index Futures Markets
Authors:	廖四郎 Liao, Szu-Lang 林士貴 Lin, Shih-Kuei 廖志偉 Liao, Chih-Wei
Contributors:	金融系
Keywords:	High-frequency Trading;Leverage Effect;Volatility Feedback Effect;Causality;Jumps
Date:	2017-06
Issue Date:	2018-05-14 17:28:59 (UTC+8)
Abstract:	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.
Relation:	International Research Journal of Finance and Economics, No.Issue 162, pp.7-23
Data Type:	article
Appears in Collections:	[金融學系] 期刊論文

Files in This Item:

File	Description	Size	Format
T417558.pdf		350Kb	Adobe PDF2	474	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...