The fourth essay examines the intertemporal relationship between the FOX stock index cash and derivatives markets. A significant information flow from futures and option returns to the underlying index is found. The predictive power can be further improved by allowing the relation between the returns to be different for positive and negative index returns. The fifth essay studies the flow of information between the cash markets in Finland and Sweden and the index futures market in Finland. The results suggest that volatility relations contain different information than suggested by the traditional lead-lag relations.
Volatility is found to flow from the Finnish stock and futures markets to the Swedish stock market.
Vesa Puttonen, Department of Accounting and Finance, Faculty of Accounting and Industrial Management, University of Vaasa, Raastuvankatu 31, SF-65100 Vaasa, Finland.