› › Intraday Lead Lag Relationship Between Stock Index And Stock Index Futures Markets

Intraday Lead-Lag Relationship Between Stock Index and Stock Index Futures Markets

Author : Ersan Ersoy

Publisher :

Page : 18 pages

File Size : 50,70 MB

Release : 2016

Category :

ISBN :

Get eBook

Book Description

In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. However, due to market imperfections, one of these markets may reflect information faster than the other and therefore may lead to the other. This study examines the lead-lag relationship between stock index and stock index futures, in terms of both price and volatility, by using 5 minute data over 2007-2010 period. The findings of this study indicate that a stable long-term relationship between Turkish stock index and stock index futures exists, however stock index futures do not lead stock index and there is a two way interaction between them. Therefore either of the markets is dominant over the other one in the price formation process.







Stock Futures of a Flawed Market Index

Author : Kotaro Miwa

Publisher :

Page : 28 pages

File Size : 26,52 MB

Release : 2018

Category :

ISBN :

Get eBook

Book Description

I present evidence that transactions of the stock futures of a flawed market index cause mispricing in individual stocks. In particular, I analyze whether stocks overweighted on the index are mispriced, especially when market movements driven by futures trading are observed. To detect such movements, I use a qualitative indicator based on daily stock market news and a quantitative indicator based on the intraday lead-lag relationship between the spot and futures markets. I find that overweighted stocks are overpriced (underpriced) when upward (downward) movements driven by futures trading are observed. By contrast, such mispricing is not observed for non-constituent stocks.



The Lead-Lag Relation between Spot and Futures Markets Under Different Short-Selling Regimes

Author : Joseph K. W. Fung

Publisher :

Page : pages

File Size : 28,64 MB

Release : 2002

Category :

ISBN :

Get eBook

Book Description

We examine the lead-lag relation between index futures and the underlying index under three types of short-selling restrictions on stocks in Hong Kong. Our results indicate that lifting short-selling restrictions can enhance the informational efficiency of the stock market relative to the index futures. We also investigate the impact of two market characteristics, market conditions and the magnitude of mispricing on the lead-lag relations under different short-selling regimes. Our findings suggest that if we remove restrictions, the contemporaneous price relation between the futures and cash markets becomes stronger particularly in the falling market and when the cash market is relatively overpriced.





The Impact of Screen Trading on the Link between Stock Index and Stock Index Futures Prices

Author : Alex Frino

Publisher :

Page : 27 pages

File Size : 10,80 MB

Release : 2002

Category :

ISBN :

Get eBook

Book Description

In this paper, we consider the impact of the introduction of LIFFE CONNECT on the lead-lag relationship between the FTSE100 index and its futures. In general, the results of this study suggest that the move to screen trading strengthens the simultaneity of price discovery in the cash and futures markets and lessens the existence of a lead-lag relationship. This evidence differs to that of the previous literature which has generally found a strengthening of the lead of the futures market to the cash market. The reason for this difference in results is most likely a reflection of the fact that the cash market was generally floor traded in the previous literature, while in this study the FTSE100 was screen traded.





A Further Investigation of the Lead-Lag Relationship in Returns and Volatility Between the Spot Market and Stock Index Futures

Author : Sotirios Karagiannis

Publisher :

Page : 50 pages

File Size : 21,54 MB

Release : 2014

Category :

ISBN :

Get eBook

Book Description

This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of FTSE/ASE-20 futures and the underlying FTSE/ASE-20 cash index of the Athens Stock Exchange. The results suggest that there is a bidirectional causality between spot and futures returns, rejecting the usual result of futures leading spot market. However, spot market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by using a bivariate EGARCH(1,1) model. This model is found to capture all the volatility dynamics. The results indicate that the transmission of volatility is bidirectional. Any piece of information that is released by the cash market has an effect on futures market volatility, and vice versa. Nevertheless, the volatility spillover from spot to futures market is slightly stronger than in the reverse direction.