Impact of Futures on Comovements between European Cross-Listed Equities

Journal of Financial Management and Analysis, Forthcoming

Posted: 10 Nov 2005

See all articles by Katerina Lyroudi

Katerina Lyroudi

University of Macedonia - Accounting and Finance

Koulakiotis Athanasios

University of Wales, Bangor

Apostolos Dasilas

University of Macedonia

Abstract

This paper develops the approach suggested by Karolyi (1995), Longin and Solnik (1995), and Karolyi and Stulz (1996) to examine the impact of futures variables (such as exchange rates, treasury bills, treasury bonds, and stock indices) on the integration process for cross-listed equities in Europe. A primary focus of this study is to relate the volatility spillover effects for cross-listings across markets first to different regulatory structures and second to the content of information (other than past returns) on volatility and correlation among markets. We find that futures variables have a significant impact on the magnitude and persistence of volatility spillovers among markets. Overall, we find that correlations between markets are not constant because information contained in futures contracts can affect the magnitude and the persistence of volatility spillovers significantly.

Keywords: Futures Contract; Stock Price Volatility; Cross-listed Equities

JEL Classification: G15

Suggested Citation

Lyroudi, Katerina and Athanasios, Koulakiotis and Dasilas, Apostolos, Impact of Futures on Comovements between European Cross-Listed Equities. Journal of Financial Management and Analysis, Forthcoming, Available at SSRN: https://ssrn.com/abstract=829564

Katerina Lyroudi (Contact Author)

University of Macedonia - Accounting and Finance ( email )

156 Egnatia Str.
Thessaloniki, 54006
Greece
+30 31 891 674 (Phone)
+30 31 844 536 (Fax)

Koulakiotis Athanasios

University of Wales, Bangor ( email )

Bangor, Wales LL57 2DG
United Kingdom

Apostolos Dasilas

University of Macedonia ( email )

156 Egnatia St.
P.O. 1591
Thessaloniki, 54006
Greece

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