Asset risk is one of the principal parameters in various financial models. A growing body of academic literature has examined the characteristics of risk as measured by the variance of the return distributions for various assets. While extensive analysis has been undertaken on the trading/non-trading time effect in variance patterns for assets traded in the United States financial markets, relatively little research exists for the variance patterns of assets which have multiple market listings in the U.S. and other countries. Empirical studies which have considered the variance distributions only in the context of U.S. market trading and non-trading periods have failed to properly address the potential effect of trading periods in foreign markets on the variance patterns of assets with world-wide markets which can differ from those observed for assets traded in the U.S. markets only. This study investigates the trading/non-trading time effect in the distribution of variances for the U.S. Treasury bond futures and Eurodollar futures contracts presently traded in the United States, Europe, and Far East. The effect of information arrival on the distributions of variances is also examined. Results show that variances differ both between trading and non-trading periods and between the trading periods of different markets. In addition, the analysis also indicates that the impact of macroinformation generated in the U.S. is more pronounced than the impact of similar information generated in major overseas markets on the variance patterns of the U.S. Treasury bond futures and Eurodollar futures. In view of the increasingly integrated international financial markets, the results of this analysis have important implications for various investment strategies. If asset risk vary significantly across trading and nontrading periods of individual markets, model specifications should be adjusted for the nonstationarity of risk estimates.
| Identifer | oai:union.ndltd.org:UMASS/oai:scholarworks.umass.edu:dissertations-7801 |
| Date | 01 January 1990 |
| Creators | Savanayana, Uttama |
| Publisher | ScholarWorks@UMass Amherst |
| Source Sets | University of Massachusetts, Amherst |
| Language | English |
| Detected Language | English |
| Type | text |
| Source | Doctoral Dissertations Available from Proquest |
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