Returns and Volatility Spillovers in the Currency Futures Markets : The Case of the German Mark and the Japanese Yen

The study provides evidence of the nature of the volatility transmission for daily currency futures contracts traded at the International Monetary Market (IMM) and the Singapore Exchange (SIMEX). The samples of the German mark currency futures contracts and the Japanese yen currency futures contracts are used to study inter-market spillover effects in the non-overlapping time zones. Employing GARCH specifications, the results find strong volatility transmission only from the IMM to the SIMEX for both currency futures contracts. This result suggests that the currency futures market with larger trading volume i.e. IMM are influencing the direction of transmission compared to the currency futures market with smaller trading volume i.e. SIMEX