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

Download or read book Intraday Lead Lag Relationship Between Stock Index and Stock Index Futures Markets written by Ersan Ersoy and published by . This book was released on 2016 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Book Stock Futures of a Flawed Market Index

Download or read book Stock Futures of a Flawed Market Index written by Kotaro Miwa and published by . This book was released on 2018 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

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

Download or read book The Lead Lag Relation between Spot and Futures Markets Under Different Short Selling Regimes written by Joseph K. W. Fung and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Book Lead lag Relationships in a Multi market Context

Download or read book Lead lag Relationships in a Multi market Context written by Obiyathulla Ismath Bacha and published by . This book was released on 1993 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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

Download or read book The Impact of Screen Trading on the Link between Stock Index and Stock Index Futures Prices written by Alex Frino and published by . This book was released on 2002 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

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

Download or read book A Further Investigation of the Lead Lag Relationship in Returns and Volatility Between the Spot Market and Stock Index Futures written by Sotirios Karagiannis and published by . This book was released on 2014 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Book Return Volatility Movements in Spot and Futures Markets

Download or read book Return Volatility Movements in Spot and Futures Markets written by Jeng-Hong Chen and published by . This book was released on 2014 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: After the Debt Ceiling Bill was passed on August 2, 2011, the S&P 500 index returns volatility increased significantly until the end of 2011. This research investigates the return volatility movements in S&P 500 spot index and index futures markets, the lead/lag relationship between two markets, and the effect of volatility on the trading costs using year 2011 intraday data. The analyses of intraday data show the following results during the higher volatility period (8/3/2011-12/30/2011): First, the difference of return variances between index futures and spot index is even greater than that during the lower volatility period. Second, the index futures market leads the spot index market and the interaction between both markets becomes stronger. Third, both index futures and spot index exhibit clearer U-shape intraday pattern of return volatilities. Finally, the trading costs, measured by the bid-ask spreads, are significantly larger.

Book An Investigation of the Lead Lag Relationship in Returns and Volatility between Cash and Stack Index Futures

Download or read book An Investigation of the Lead Lag Relationship in Returns and Volatility between Cash and Stack Index Futures written by Ilias Visvikis and published by . This book was released on 2014 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of stock index futures and the underlying cash index in the FTSE/ASE-20 and FTSE/ASE Mid-40 markets of the Athens Stock Exchange. Empirical results confirm previous findings that there is a large contemporaneous relation, together with asymmetric lead-lag behaviour between the cash and futures markets. There is evidence that the futures lead the cash index returns, by responding more rapidly to economic events than stock prices. This asymmetric lead-lag relation can be attributed to the predictive power of futures returns, supporting the price discovery hypothesis that new market information is disseminated faster in the futures market compared to the stock market. After examining whether daily volatility in futures prices has systematically lead daily volatility in the cash index, the results provide a weak indication that cash volatility spills some information in the futures market volatility in the FTSE/ASE-20 market. In the FTSE/ASE Mid-40 market, the results indicate that there are robust volatility spillovers from the futures to the cash market, which imply that the futures market can be used as a price discovery vehicle.

Book Intraday Return and Volatility Relationships Between the IBEX 35 Stock Index and Stocks Index Futures Markets

Download or read book Intraday Return and Volatility Relationships Between the IBEX 35 Stock Index and Stocks Index Futures Markets written by Juan Angel Lafuente Luengo and published by . This book was released on 2000 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book The Lead Lag Relationship Between Volatility Index Futures and Spot in the Korean Stock Market

Download or read book The Lead Lag Relationship Between Volatility Index Futures and Spot in the Korean Stock Market written by Rong-Yuan Qin and published by . This book was released on 2017 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This empirical study examines the short-run lead-lag relationship between the VKOSPI index futures and its underlying spot index and KOSPI index using daily data from September 17, 2014 to May 2017. We used the unit root test, Johansen-Juselius cointegration test, Granger causality analysis, impulse response function analysis, and variance decomposition analysis to test the hypothesis that the futures market with no market frictions leads the spot market in this analysis. The results of these analyses using level variables show that there is a bi-directional lead-lag relationship between the VKOSPI futures and VKOSPI index, but in the analysis using first-difference variables, there is only a unidirectional lead-lag relationship form VKOSPI index to VKOSPI futures. This means that the VKOSPI spot market is more efficient than the futures market. Also, there are no lead-lag relationship from VKOSPI futures or VKOSPI index to KOSPI index. It is inconsistent with the main expected hypothesis in our study and the conclusions of previous studies which argue that the VIX futures lead the VIX index and S&P 500 index. This results are related to a lack of liquidity of VKOSPI futures contracts in the Korean derivatives market. Because generally, the Korean institutional investors prefer option trading, to hedge market risk rather than VKOSPI futures. Change in the price of the option will result in the change in the VKOSPI index and subsequently the mechanism that alters the VKOSPI futures or the KOSPI index.

Book Lead Lag Relationship Between Returns and Implied Moments

Download or read book Lead Lag Relationship Between Returns and Implied Moments written by Sol Kim and published by . This book was released on 2016 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates whether a lead-lag relationship exists between the returns and the moments of the implied risk-neutral density (RND) in Korea Composite Stock Price Index (KOSPI) 200 spot, futures, and options markets. The empirical analysis suggests that although there is a bi-directional lead-lag relationship between the returns and the implied moments, the skewness and kurtosis of the implied RND Granger-cause the spot and futures returns more strongly than the returns do. In contrast, the implied volatility is shown to Granger-cause the returns less strongly than the returns do. In addition, this study shows that the lead-lag relationship strengthens when the spot market is exceptionally bullish or bearish.