Intraday Volatility in the Stock Index and Stock Index Futures Markets
研究股票指数与股指期货市场日内收益率与波动率的关系，发现两个市场的波动率存在强跨市场依赖，一个市场的价格冲击能预测另一个市场的未来波动，且该关系在收益率相关性减弱时依然存在。
We examine the intraday relationship between returns and returns volatility in the stock index and stock index futures markets. Our results indicate a strong intermarket dependence in the volatility of the cash and futures returns. Price innovations that originate in either the stock or futures markets can predict the future volatility in the other market. We show that this relationship persists even during periods in which the dependence in the returns themselves appears to weaken. The findings are robust to controlling for potential market frictions such as asynchronous trading in the stock index. Our results have implications for understanding the pattern of information flows between the two markets. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.