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Yen-Hsien Lee, Tung-Yueh Pai and Chien-Liang Chiu
''Abnormal Domestic Information Disseminate on Cross-listed Nikkei 225 Index Futures from Abroad?''
( 2007, Vol. 3 No.60 )
This study extends the GARCH with autoregressive conditional jump intensity in Generalized Error Distribution (GARJI-GED) model to identify the fundamental characteristics of Nikkei 225 index and futures. Furthermore, this study applied the Granger causality test to investigate whether an abnormal information lead and lag relationship existed for the Nikkei 225, SIMEX-Nikkei 225 and OSE-Nikkei 225. Empirical results demonstrate that Nikkei 225 index and futures show jump phenomena, implying a jump process is necessary to match statistical features in spot and futures markets. Finally, the empirical results indicated that the abnormal information of the OSE-Nikkei 225 futures contract significantly leads the one of the SIMEX- Nikkei 225 and Nikkei 225 index.
JEL: C5 - Econometric Modeling: General
C2 - Single Equation Models; Single Variables: General
Manuscript Received : Oct 19 2007 Manuscript Accepted : Nov 14 2007

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