Integration in Futures Markets
This paper aims to examine integration in equity index futures markets around the globe, which has not been explored in prior literature. Overall, the integration in futures markets is obviously stronger than that in the associated equity markets, although a sudden decrease is observed from years 2012 to 2014 due to a reduction in the volatility of futures markets. Thus, a long memory behavior of the integration in futures markets is not present. Specifically, the degree of integration of developed futures markets is much higher than that of emerging futures markets and the integration among European futures markets are the strongest. In addition, the integration is associated with stock market crash but not with stock market jump. We conclude that benefits from cross-market diversification still exist even during a turbulent period.
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