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Cointegration and error correction models: Intertemporal causality between index and futures prices

Citations

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Cited by:

  1. Ming‐Yuan Leon Li, 2009. "The dynamics of the relationship between spot and futures markets under high and low variance regimes," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(6), pages 696-718, November.
  2. Jian, Zhihong & Wu, Shuai & Zhu, Zhican, 2018. "Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach," Emerging Markets Review, Elsevier, vol. 37(C), pages 98-113.
  3. Zhou, Jian, 2016. "Hedging performance of REIT index futures: A comparison of alternative hedge ratio estimation methods," Economic Modelling, Elsevier, vol. 52(PB), pages 690-698.
  4. Jian, Zhihong & Li, Xupei & Zhu, Zhican, 2022. "Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  5. Tse, Yiuman, 2001. "Index arbitrage with heterogeneous investors: A smooth transition error correction analysis," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1829-1855, October.
  6. P. W. Fong & W. K. Li, 2004. "Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 419-441, May.
  7. Jing Hao & Xiong Xiong & Feng He & Feng Ma, 2019. "Price Discovery in the Chinese Stock Index Futures Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(13), pages 2982-2996, October.
  8. Magkonis, Georgios & Tsouknidis, Dimitris A., 2017. "Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 104-118.
  9. Olson, Eric & Vivian, Andrew & Wohar, Mark E., 2019. "What is a better cross-hedge for energy: Equities or other commodities?," Global Finance Journal, Elsevier, vol. 42(C).
  10. Shashi Gupta & Himanshu Choudhary & D.R. Agarwal, 2017. "Hedging Efficiency of Indian Commodity Futures," Paradigm, , vol. 21(1), pages 1-20, June.
  11. Xiaojie Xu, 2019. "Contemporaneous Causal Orderings of CSI300 and Futures Prices through Directed Acyclic Graphs," Economics Bulletin, AccessEcon, vol. 39(3), pages 2052-2077.
  12. Yang Hu & Yang (Greg) Hou & Les Oxley, 2019. "Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective," Working Papers in Economics 19/13, University of Waikato.
  13. Fei Ren & Mei-Ling Cai & Sai-Ping Li & Xiong Xiong & Zhang-HangJian Chen, 2023. "A Multi-market Comparison of the Intraday Lead–Lag Relations Among Stock Index-Based Spot, Futures and Options," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 1-28, June.
  14. Antonakakis, Nikolaos & Floros, Christos & Kizys, Renatas, 2016. "Dynamic spillover effects in futures markets: UK and US evidence," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 406-418.
  15. Kenneth Yung & Yen-Chih Liu, 2009. "Implications of futures trading volume: Hedgers versus speculators," Journal of Asset Management, Palgrave Macmillan, vol. 10(5), pages 318-337, December.
  16. Pandey, Ajay, 2008. "Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets," IIMA Working Papers WP2008-06-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
  17. Yang Hou & Steven Li, 2013. "Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(1), pages 49-70, March.
  18. Batchelor, Roy & Alizadeh, Amir & Visvikis, Ilias, 2007. "Forecasting spot and forward prices in the international freight market," International Journal of Forecasting, Elsevier, vol. 23(1), pages 101-114.
  19. C. Kailash P. & К. Прадхам Ч., 2017. "Движение цен на спотовых и фьючерсных рынках: Подтверждение индексами S&P CNX NIFTY // Price movements in futures and spot markets: Evidence from the S&P CNX Nifty Index," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 5(1), pages 32-41.
  20. Lepone, Andrew & Yang, Jin Young, 2013. "Informational role of market makers: The case of exchange traded CFDs," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 84-92.
  21. Suo, Yuan-Yuan & Wang, Dong-Hua & Li, Sai-Ping, 2015. "Risk estimation of CSI 300 index spot and futures in China from a new perspective," Economic Modelling, Elsevier, vol. 49(C), pages 344-353.
  22. Malo, Pekka, 2009. "Modeling electricity spot and futures price dependence: A multifrequency approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4763-4779.
  23. Minho Kim & Andrew C. Szakmary & Thomas V. Schwarz, 1999. "Trading costs and price discovery across stock index futures and cash markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(4), pages 475-498, June.
  24. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
  25. Judge, Amrit & Reancharoen, Tipprapa, 2014. "An empirical examination of the lead–lag relationship between spot and futures markets: Evidence from Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 335-358.
  26. Antonakakis, Nikolaos & Kizys, Renatas & Floros, Christos, 2014. "Dynamic Spillover Effects in Futures Markets," MPRA Paper 53876, University Library of Munich, Germany.
  27. Hu, Yang & Hou, Yang Greg & Oxley, Les, 2020. "What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?," International Review of Financial Analysis, Elsevier, vol. 72(C).
  28. Choudhry, Taufiq, 2003. "Short-run deviations and optimal hedge ratio: evidence from stock futures," Journal of Multinational Financial Management, Elsevier, vol. 13(2), pages 171-192, April.
  29. Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2019. "Crude oil price shocks and hedging performance: A comparison of volatility models," Energy Economics, Elsevier, vol. 81(C), pages 1132-1147.
  30. Sanjay Sehgal & Mala Dutt, 2016. "Domestic and international information linkages between NSE Nifty spot and futures markets: an empirical study for India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 43(3), pages 239-258, September.
  31. Manolis Kavussanos & Nikos Nomikos, 2003. "Price Discovery, Causality and Forecasting in the Freight Futures Market," Review of Derivatives Research, Springer, vol. 6(3), pages 203-230, October.
  32. Sarveshwar Kumar Inani, 2017. "Price discovery in Indian stock index futures market: new evidence based on intraday data," International Journal of Indian Culture and Business Management, Inderscience Enterprises Ltd, vol. 14(1), pages 23-43.
  33. Zhou, Xinmiao & Zhang, Junru & Zhang, Zhaoyong, 2021. "How does news flow affect cross-market volatility spillovers? Evidence from China’s stock index futures and spot markets," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 196-213.
  34. Kumar, Satish, 2018. "Price discovery in emerging currency markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 528-536.
  35. Joshua Turkington & David Walsh, 1999. "Price Discovery and Causality in the Australian Share Price Index Futures Market," Australian Journal of Management, Australian School of Business, vol. 24(2), pages 97-113, December.
  36. Sathya Swaroop Debasish, 2011. "Analysis of Long-Term Relationship between Spot and Futures prices Using Johansen’s Test of Cointegration," Information Management and Business Review, AMH International, vol. 2(2), pages 65-80.
  37. Wang, Qizhi & Chidmi, Benaissa, 2009. "Cotton Price Risk Management across Different Countries," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46762, Southern Agricultural Economics Association.
  38. Dar-Hsin Chen & Leo Bin & Chun-Yi Tseng, 2014. "Hedging Effectiveness of Applying Constant and Time-Varying Hedge Ratios: Evidence from Taiwan Stock Index Spot and Futures," Journal of Risk & Control, Risk Market Journals, vol. 1(1), pages 31-49.
  39. Koulis Alexandros & Beneki Christina & Kaimakamis George, 2018. "Hedging effectiveness for international index futures markets," Economics and Business, Sciendo, vol. 32(1), pages 149-159, July.
  40. Penikas, Henry, 2011. "Copula-Based Price Risk Hedging Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 3-21.
  41. Alexander, C. & Barbosa, A., 2008. "Hedging index exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 326-337, February.
  42. Turkington, Joshua & Walsh, David, 2000. "Informed traders and their market preference: Empirical evidence from prices and volumes of options and stock," Pacific-Basin Finance Journal, Elsevier, vol. 8(5), pages 559-585, October.
  43. Charlie X. Cai & Robert Faff & Yongcheol Shin, 2018. "Noise Momentum Around the World," Abacus, Accounting Foundation, University of Sydney, vol. 54(1), pages 79-104, March.
  44. Kumar, S.S.S. & Sampath, Aravind, 2019. "What drives the off-shore futures market? Evidence from India and China," Finance Research Letters, Elsevier, vol. 30(C), pages 394-402.
  45. Pradhan, Rudra P. & Hall, John H. & du Toit, Elda, 2021. "The lead–lag relationship between spot and futures prices: Empirical evidence from the Indian commodity market," Resources Policy, Elsevier, vol. 70(C).
  46. Ren, Fei & Ji, Shen-Dan & Cai, Mei-Ling & Li, Sai-Ping & Jiang, Xiong-Fei, 2019. "Dynamic lead–lag relationship between stock indices and their derivatives: A comparative study between Chinese mainland, Hong Kong and US stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 709-723.
  47. Ah-Boon Sim & Ralf Zurbruegg, 2001. "Optimal hedge ratios and alternative hedging strategies in the presence of cointegrated time-varying risks," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 269-283.
  48. Gong, Chen-Chen & Ji, Shen-Dan & Su, Li-Ling & Li, Sai-Ping & Ren, Fei, 2016. "The lead–lag relationship between stock index and stock index futures: A thermal optimal path method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 63-72.
  49. J Fedderke & Michelle Joao, 2001. "Arbitrage, Cointegration And Efficiency In Financial Markets In The Presence Of Financial Crises," South African Journal of Economics, Economic Society of South Africa, vol. 69(3), pages 366-384, September.
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