1887

n African Finance Journal - Intraday information transmission in the South African equities market

Volume 20 Number 2
  • ISSN : 1605-9786

Abstract

Price discovery is an integral function of financial exchanges, while volatility is a primary concern of market participants. Few studies consider both within an intraday equities context. This paper examines the FTSE/JSE Top 40 index and index futures market, and determines this market’s: (i) price discovery process; (ii) respective contributions to the price discovery process; and (iii) volatility spillover process. Volatility spillover is estimated with dynamic conditional correlation GARCH models. Price discovery is futures-led (5-minute interval) – although bi-directional in shorter intervals. Common Factor Weights show that price discovery is dominated by the futures market. Volatility spillover is a bi-directional process.

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/content/journal/10520/EJC-139fddb738
2018-12-01
2019-07-21

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