An alternative approach in investigating lead–lag relationships between stock and stock index futures markets – comment

@article{Hasan2005AnAA,
  title={An alternative approach in investigating lead–lag relationships between stock and stock index futures markets – comment},
  author={M. S. Hasan},
  journal={Applied Financial Economics Letters},
  year={2005},
  volume={1},
  pages={125 - 130}
}
  • M. S. Hasan
  • Published 2005
  • Economics
  • Applied Financial Economics Letters
This study re-examines and reinterprets the empirical results of Brooks et al. (1999) which investigated the lead–lag relationship between stock indices and stock index futures markets. Contrary to the contention of Brooks et al. that the stock index futures market leads the stock market, it is found that their linear Granger causality tests exhibit overwhelming evidence of a contemporaneous relationship and a bidirectional relationship between spot and futures returns. The interpretation of… Expand
Price discovery in the South African stock index futures market
Applications of Ensemble Empirical mode decomposition to stock-futures basis analysis
  • Jingliang Sun, H. Sheng
  • Economics
  • 2010 2nd IEEE International Conference on Information and Financial Engineering
  • 2010

References

SHOWING 1-10 OF 21 REFERENCES
Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation
A Theory of Trading in Stock Index Futures
The relationship between spot and futures prices: Evidence from the crude oil market
Liquidity and Market Structure
Testing for dependence in the input to a linear time series model
An econometric model of price determination in the crude oil futures markets, 4Abhyankar
  • 1996
Return and volatility dynamics
  • 1995
...
1
2
3
...