Journal article

Volatility transmission and patterns in bund futures

PH Franses, R van leperen, P Kofman, M Martens, B Menkveld

Journal of Financial Research | Published : 1997

Abstract

We analyze intraday volatility behavior for the Bund futures contract that is traded simultaneously at two competing exchanges. We investigate the transmission of volatility between the exchanges. We find that the lead/lag relations are restricted to a few minutes and do not reveal a dominant leader. We then analyze patterns in intraday volatility. We find that volatility behaves similarly at both exchanges; i.e., it decreases from the opening until early afternoon and increases thereafter. The same pattern is detected in explanatory variables such as traded volume and time-between-trades. © The Southern Finance Association and the Southwestern Finance Association.

University of Melbourne Researchers

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