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Keywords: NASDAQ 100 index futures
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Journal Articles
A Study on Information Spillover Effects from NASDAQ 100 to KOSDAQ 50 Index Futures Markets
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2003) 11 (1): 145–167.
Published: 31 May 2003
.... Based on the time-varying AR(1)-GARCH (1,1)-M models, we document that statistically significant conditional mean and volatility spillover effects from the daytime returns of NASDAQ 100 index futures to both overnight returns and daytime returns of KOSDAQ 50 index futures were observed. We also find...
