Linear and nonlinear Granger causality: evidence from the U.K. stock index futures market
Article Abstract:
There is evidence that the FT-SE 100 index futures are inclined to lead the cash index by roughly 5 to 15 minutes, substantiating an identical pattern observed in the US, Germany and Japanese stock index futures market. The evidence also implies that the linear lead-lag relationship continues even after the return series are modified for persistence in volatility. Finally, the evidence suggests that if nonlinear are accounted for, the market neither leads or falls behind the other.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1998
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The lead-lag relationship between equities and stock index futures markets around information releases
Article Abstract:
Research is presented describing the impact of press and information releases on the fluctuation of stock index futures and equity prices.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2000
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The effect of spot and futures trading on stock index market volatility: a nonparametric approach
Article Abstract:
The authors show that the derivative market is not related to spot market volatility.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
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