We analyze intraday volatility behavior for the Bund futures contract that is traded simultaneously at two competing exchanges. We investigate the transmission of volatility between the exchanges. We find that the lead/lag relations are restricted to a few minutes and do not reveal a dominant leader. We then analyze patterns in intraday volatility. We find that volatility behaves similarly at both exchanges; i.e., it decreases from the opening until early afternoon and increases thereafter. The same pattern is detected in explanatory variables such as traded volume and time-between-trades.

Additional Metadata
Keywords commodity exchanges, finance, futures markets, hedging (finance), investments, research, securities markets, volatility (finance)
Persistent URL hdl.handle.net/1765/2111
Series ERIM Article Series (EAS)
Journal The Journal of Financial Research
Franses, Ph.H.B.F, van Ieperen, R, Menkveld, A.J, Kofman, P, & Martens, M.P.E. (1997). Volatility transmission and patterns in Bund futures. The Journal of Financial Research, 459–482. Retrieved from http://hdl.handle.net/1765/2111