Simultaneous Volatility Transmissions and Spillover Effects: US and Hong Kong Stock and Futures Markets

Contemporaneous transmission effects across volatilities of the Hong Kong Stock and Index futures markets and futures volume of trade are tested by employing a structural systems approach. Competing measures of volatility spillover, constructed from the overnight U.S. S&P500 index futures, are tested and found to impact on the Hong Kong asset return volatility and volume of trade patterns. The examples utilize intra-day 15 minute sampled data from this medium sized Asia Pacific equity and derivative exchange. Both the intra-day and Inter-day patterns in the Hong Kong market is allowed for in the estimation process.