Information Flows Between Eurodollar Spot and Futures Markets

Cheung, Yin-Wong; Fung, Hung-Gay

Volume 1, Number 4 / December , Pages 255-324

Multinational Finance Journal, 1997, vol. 1, no. 4, pp. 255-271

Yin-Wong Cheung , University of California Santa Cruz, U.S.A. Corresponding Author

Hung-Gay Fung , University of Missouri-St. Louis, U.S.A.

Abstract:
The pattern of information flows between Eurodollar spot and futures markets is examined using a robust two-step procedure. This procedure allows for conditional mean and variance dynamics as well as conditional heteroskedasticity. We find spot rates affect futures data and vice versa. In addition, there is evidence of volatility spillover between the two markets. Our results also indicate that information conveyed by data on futures tends to have a more persistent impact on both the mean and volatility of cash market price movements than the other way around

Keywords : Granger causality; cointegration; Eurodollar spot and futures interest rates; information flow
View in Bib TeX Format View Cite Format 1 View Cite Format 2