Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?
研究1988-1994年间美、英、日股指期货市场日内波动率的国际传导，发现美英市场波动受外部冲击影响（流星雨），日本市场波动则主要源于本国（热浪）。
The international transmission of intraday price volatility among the United States, United Kingdom, and Japanese stock index futures markets in the period 1988–1994 is investigated in this paper. The empirical results based on extreme-value estimators and vector autoregression indicate the rapid transmission of information between markets. The volatilities of the U.S. and U.K. futures markets appear to follow a meteor shower rather than a heat wave type of process. This means that these volatilities react to shocks from other markets, i.e., they cannot be described only by their past values. However, the heat wave hypothesis is not rejected for the Japanese market, meaning that the shocks to Japanese volatility are mostly country-specific. A multivariate GARCH model supports the U.K. and Japanese but not the U.S. results.