Volatility Spillover Across Spot and Futures Markets: Evidence from Dual Financial System
(2024)
Journal Article
Elsayed, A. H., Asutay, M., ElAlaoui, A. O., & Bin Jusoh, H. (2024). Volatility Spillover Across Spot and Futures Markets: Evidence from Dual Financial System. Research in International Business and Finance, 71, Article 102473. https://doi.org/10.1016/j.ribaf.2024.102473
This paper investigates dynamic returns and volatility spillovers between spot and futures markets in a dual financial system. It further analyses the shock transmission of both volume trading and open interest in the futures market. Empirical result... Read More about Volatility Spillover Across Spot and Futures Markets: Evidence from Dual Financial System.