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    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
    Lin, Shih-Kuei
    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

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