Information and volatility linkages between European bond, equity and money market futures

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi Häjänen, Samuli 2013-06-25T07:15:57Z 2013-06-25T07:15:57Z 2013
dc.description.abstract The objective of this thesis is to study the information and volatility linkages between European bond, stock and money market futures contracts. In particular, the thesis investigates the information transmission between the futures contracts measured through volatility spillover. Moreover, it examines the volatility correlation between the futures series and whether the volatility correlation changes over time. Furthermore, the study tests whether a volatility model, which incorporates cross-market volatility spillover, generates better volatility estimates. The dataset includes 3955 daily price observations of Euro Bund, DJ Euro Stoxx 50 Index and Euro Schatz futures contracts from March, 1997 to September, 2012. Five testable hypotheses are stated and multivariate GARCH volatility models are used to estimate the volatility correlations between the futures markets and to detect volatility spillovers from one market to another. The empirical results of the thesis show that the volatilities between the bond, stock and money market futures contracts are correlated. Furthermore, the analysis reveals unidirectional volatility spillover from the European bond and money market to the stock market. Moreover, the results indicate that the multivariate GARCH model which allows cross-market volatility spillover is able to capture the causal relationships in volatility. Instead, the volatility estimates generated with the multivariate GARCH model provide only moderate improvement to the estimates generated with the standard GARCH model. Further, the results show that volatilities and the correlation between volatilities are time varying and the volatility spillover between the markets may change over time. en
dc.format.extent 66
dc.language.iso en en
dc.title Information and volatility linkages between European bond, equity and money market futures en
dc.type G2 Pro gradu, diplomityö fi Kauppakorkeakoulu fi School of Business en
dc.contributor.department Department of Finance en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword volatility
dc.subject.keyword volatility spillover
dc.subject.keyword information transmission
dc.subject.keyword GARCH
dc.identifier.urn URN:NBN:fi:aalto-201306267064
dc.type.dcmitype text en
dc.programme.major Finance en
dc.programme.major Rahoitus fi
dc.type.ontasot Master's thesis en
dc.type.ontasot Pro gradu tutkielma fi
dc.subject.helecon rahoitus
dc.subject.helecon financing
dc.subject.helecon arvopaperimarkkinat
dc.subject.helecon stock exchange markets
dc.subject.helecon epävarmuus
dc.subject.helecon uncertainty
dc.subject.helecon tieto
dc.subject.helecon knowledge
dc.ethesisid 13206 2013-05-20
dc.location P1 I

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