This paper develops the model used by Kim (2005) in order to analyze the information spillovers from the US to the Spanish stock index futures markets and the behavior of volatility persistence. We use a GJR-GARCH model instead of a EGARCH model and, additionally, we include different measures of volatility. The results suggest the influence of the US market upon the Spanish market especially on overnight returns.
We find a significant and positive spillover effect from the previous intraday returns of the DOW index upon the IBEX overnight returns, while the influence from the IBEX is negative. Additionally, we find evidence that the IBEX overnight returns are positively and significantly influenced by the different volatility measures and the detrended volume of the IBEX.
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