Dynamic spillover effects in futures markets: UK and US evidence

Nikolaos Antonakakis, Christos Floros, Renatas Kizys

    Research output: Contribution to journalArticlepeer-review


    Previous studies on spillover effects in futures markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures markets volatilities, volume of futures trading and open interest in the UK and the US. Based on a dataset over the period February 25, 2008 to March 14, 2013, that encompasses both the global financial crisis and the Eurozone debt crisis, we find that spot and futures volatilities in the UK (US) are net receivers (net transmitters) of shocks to volume of futures trading and open interest. The analysis also sheds light on the dynamic interdependence of spot and futures markets volatilities between the US and the UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature, however, they are affected by major economic events such as the global financial and Eurozone debt crises. Several robustness checks endorse our main findings. Overall, these results have important implications for various market participants and financial sector regulators.

    Original languageEnglish
    Pages (from-to)406-418
    Number of pages13
    JournalInternational Review of Financial Analysis
    Publication statusPublished - 1 Dec 2016


    • Open interest
    • Spillovers
    • Spot and futures markets
    • Volatility
    • Volume


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