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

Hung Gay Fung, Wai K. Leung, Xiaoqing Eleanor Xu

Research output: Journal PublicationArticlepeer-review

30 Citations (Scopus)


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).

Original languageEnglish
Pages (from-to)1071-1090
Number of pages20
JournalJournal of Futures Markets
Issue number11
Publication statusPublished - 2001
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • General Business,Management and Accounting
  • Finance
  • Economics and Econometrics


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