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

@inproceedings{Hasan2005AnAA,
  title={An alternative approach in investigating lead–lag relationships between stock and stock index futures markets – comment},
  author={Mohammad S Hasan},
  year={2005}
}
  • Mohammad S Hasan
  • Published 2005
  • Economics
  • 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… CONTINUE READING

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