Publication: Linear and nonlinear intraday dynamics between the Eurostoxx-50 and its futures contract
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2002-07
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Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
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Nos planteamos analizar el comportamiento dinámico lineal y no lineal de los rendimientos intradía del índice bursátil Eurostoxx50 y de su contrato de futuro, los cuales debido a su relativa juventud, no han sido previamente analizados. Realizamos el estudio tanto desde la perspectiva individual como conjunta. Los resultados del contraste BDS indican que las variables no son iid y que la dinámica individual no lineal detectada no puede explicarse únicamente por la presencia de heteroscedasticidad condicional. Para el estudio de las relaciones dinámicas entre los precios de ambos mercados permitimos que el proceso de ajuste ante desequilibrios de la relación de cointegración a largo plazo sea no lineal. Constatamos que el Eurostoxx50 y su contrato de futuro están cointegrados y que el proceso de ajuste no es lineal. Finalmente, encontramos que los flujos de información entre mercados son bidireccionales tanto en el ámbito lineal como en el no lineal.
We set out to analyse the linear and nonlinear dynamic behaviour of intraday returns in the Eurostoxx 50 index and its futures contract which, given their relatively recent appearance, have not yet been analysed. We shall develop our study both from an individual and from a combined approach. The results of the BDS test indicate that the variables are not iid and that the detected nonlinear individual dynamics cannot solely be explained by the presence of conditional heteroskedasticity. For the study of the dynamic relationships between both markets’ prices, we allow the adjustment process to the imbalance of the long term cointegration relationship to be nonlinear. We find cointegration with a nonlinear adjustment process. Finally, we show that the information flow is bidirectional both in the linear as well as in the nonlinear sphere.
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