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  1. Dynamic Spillover Effects in Futures Markets: UK and US Evidence

    Antonakakis, Nikolaos; Kizys, Renatas; Floros, Christos
    Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of futures trading and open interest in the UK and the US. Based on a dataset over the period February 25, 2008 to March 14, 2013, that encompasses both the global financial crisis and the Eurozone debt crisis, we find that spot and futures volatilities in the UK (US) are net receivers (net transmitters) of shocks to volume of futures trading and open...
    (application/pdf) - 18-oct-2016

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