Information role of U.S. futures trading in a global financial market

Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the patterns of information flows for three financial futures contracts that are dual-listed on U.S. and Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollar-yen currency futures). The results indicate that the U.S. market plays a leading role in terms of pricing-information transmission across markets. In terms of volatility spillover across markets, however, foreign markets seem to play a similar role (e.g., Nikkei Index futures) or even a more significant role than the United States (e.g., Eurodollar futures in Singapore and dollar-yen currency futures in Japan).