Original Article
Journal of Derivatives & Hedge Funds (2009) 15, 116–121. doi:10.1057/jdhf.2009.8
Intraday realised volatility relationships between the S&P 500 spot and futures market
Juan A Lafuente-Luengo1
Correspondence: Juan A Lafuente-Luengo, Departamento de Finanzas y Contabilidad, Universitat Jaume I, Avda. Sos Baynat s/n, Castellón 12071, Spain. E-mail: lafuen@cofin.uji.es
1is a lecturer in Finance at the Faculty of Law and Economics at University Jaume I. He received his PhD degree in Economic Analysis and Quantitative Economics from the University Complutense of Madrid in 1999. His current research interest fields are derivative hedging and international finance.
Received 8 April 2009; Revised 8 April 2009.
Abstract
In this paper, we provide additional evidence on the intraday lead-lag relationship in the S&P 500 stock index futures market. In particular, we focus on the dynamic interactions of market volatility. In contrast to previous studies, we follow Andersen et al by using realised volatility to estimate market volatility. The empirical findings support the existence of a unidirectional causal relationship between futures market volatility and spot market volatility, suggesting that the arrival of new information disseminates faster in the derivative market.
Keywords:
realised volatility, spot, futures, dynamic interactions, price discovery
