Abstract
Using intra-daily data this paper investigates the inter-market transmission of returns, volatility and trading volume, between the Eurodollar (ED) futures markets of the CME and the SIMEX. The sample is unique in that the same contract is examined, in two markets with non-overlapping time zones, providing an unbiased test of inter-market transmission effects. The results suggest the existence of a lagged spillover effect in the mean return from the CME to the SIMEX but not vice-versa, though there are symmetric spillovers in lagged return volatility. We also find that the volume in the market that has earlier traded has a significant impact on the conditional volatility of the market that follows.
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