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Abstract

Using a bivariate, asymmetric generalized autoregressive conditional heteroskedasticity model, we examine the patterns of information flows for three financial futures contracts that are dual-listed on U.S. and Asian markets (i.e., Nikkei 225 Index, Eurodollar, and dollar–yen currency futures). The results indicate that the U.S. market plays a leading role in terms of pricing-information transmission across markets. In terms of volatility spillover across markets, however, foreign markets seem to play a similar role (e.g., Nikkei Index futures) or even a more significant role than the United States (e.g., Eurodollar futures in Singapore and dollar–yen currency futures in Japan). © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:1071–1090, 2001