arbiter
JournalsPricingAccount

Intraday Information Transmission in the South African Equities Market

Kerry McCullough

African Finance Journal2018article
AJG 1
Weight
0.32

What the paper says

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.

1 citation

Cite this paper

@article{kerry2018,
  title        = {{Intraday Information Transmission in the South African Equities Market}},
  author       = {Kerry McCullough},
  journal      = {African Finance Journal},
  year         = {2018},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

Intraday Information Transmission in the South African Equities Market

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.32

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.07
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.