Price discovery and volatility spillovers in the DJIA index and futures markets
研究了道琼斯工业平均指数与其期货市场之间每分钟的价格发现和波动溢出，发现期货市场主导价格发现，但波动溢出是双向的，且期货市场对股市的波动影响更大，两个市场都存在坏消息对波动影响更大的不对称效应。
The Dow Jones Industrial Average (DJIA) is the most widely quoted stock index worldwide. This article examines the minute-by-minute price discovery process and volatility spillovers between the DJIA index and the index futures recently launched by the CBOT. The Hasbrouck (1995) cointegrating model suggests that most of the price discovery takes place at the futures market. However, by examining the volatility spillovers between the markets based on a bivariate EGARCH model, a significant bidirectional information flow is found. That is, innovations in one market can predict the future volatility in another market, but the futures market volatility-spillovers to the stock market more than vice versa. Both markets also exhibit asymmetric volatility effects, with bad news having a greater impact on volatility than good news. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 911–930, 1999