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首页> 外文期刊>Journal of advances in management research >Asymmetric information linkages across select futures and spot indices: Evidence using wavelet-based GARCH model
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Asymmetric information linkages across select futures and spot indices: Evidence using wavelet-based GARCH model

机译：跨选择期货和现货指标的不对称信息链接：使用基于小波的加粗模型的证据

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Purpose - The study investigates the amplitude and direction of the movement of information between spot and futures indices. The study progresses to account for the investor's heterogeneity and compare the evolving structure of investors in emerging and developed economies. Further, the structural linkages in terms of returns and variance have been explored for the futures indices to contribute to meteor shower literature as explained by Engle et al. (1990); Yarovaya et al. (2017). Design/methodology/approach - To facilitate the purpose, the Indian and Chinese markets were selected to represent emerging economies and the United States for developed one. The bivariate wavelet cum BEKK-GARCH (1,1) model was estimated. Findings - For the developed markets, like the United States, the spot market improves its information transmission role with time horizon while exactly opposite holds for the Chinese market. A bidirectional overnight information spillover was found for all three pairs. The Indian futures market was vulnerable to bad news from the other two markets. Evidence suggesting the dominance of institutional investors in the Chinese futures market and retail investors in the Indian futures market is found. Originality/value - The spot-futures relation has been studied on both the time and frequency domains considering different investment horizons. Due consideration has been taken to account for the overlapping trading hours.
机译：目的 - 研究调查现货和期货指数之间信息流动的幅度和方向。该研究进展，占投资者的异质性，并比较新兴和发达经济体中投资者的不断发展结构。此外，已经探讨了回报和方差方面的结构联系，以便为流星淋浴文献贡献，如Engle等人所述。 （1990）; Yarovaya等。 （2017）。设计/方法/方法 - 促进目的，选择印度和中国市场代表新兴经济体和美国发达的国家。估计了双抗体小波蛋白贝卡 - 加基（1,1）模型。调查结果 - 对于发达的市场，如美国，现货市场随着时间的推移而改善其信息传输作用，同时对中国市场完全相反。对于所有三对，发现了双向一夜资信息溢出。印度期货市场很容易受到其他两个市场的坏消息。发现有证据表明，在印度期货市场中发现了中国期货市场和零售投资者的机构投资者的主导地位。原创性/值 - 考虑不同的投资视野的时间和频率域都研究了现货期货关系。已经考虑了重叠交易时间的考虑。

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