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The Lead-Lag Relation Between The S&P500 Spot And Futures Markets: An Intraday-Data Analysis Using A Threshold Regression Model

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  • YIU-KUEN TSE
  • WAI-SUM CHAN

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  • Yiu-Kuen Tse & Wai-Sum Chan, 2010. "The Lead-Lag Relation Between The S&P500 Spot And Futures Markets: An Intraday-Data Analysis Using A Threshold Regression Model," The Japanese Economic Review, Japanese Economic Association, vol. 61(1), pages 133-144.
  • Handle: RePEc:bla:jecrev:v:61:y:2010:i:1:p:133-144
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    References listed on IDEAS

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    1. Taylor, Nick & Dijk, Dick van & Franses, Philip Hans & Lucas, Andre, 2000. "SETS, arbitrage activity, and stock price dynamics," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1289-1306, August.
    2. Baragona, R. & Battaglia, F. & Cucina, D., 2004. "Fitting piecewise linear threshold autoregressive models by means of genetic algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 277-295, September.
    3. Martin Martens & Paul Kofman & Ton C. F. Vorst, 1998. "A threshold error-correction model for intraday futures and index returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 245-263.
    4. Jiang, Li & Fung, Joseph K W & Cheng, Louis T W, 2001. "The Lead-Lag Relation between Spot and Futures Markets under Different Short-Selling Regimes," The Financial Review, Eastern Finance Association, vol. 36(3), pages 63-88, August.
    5. Dwyer, Gerald P, Jr & Locke, Peter R & Yu, Wei, 1996. "Index Arbitrage and Nonlinear Dynamics between the S&P 500 Futures and Cash," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 301-332.
    6. Chan, Kalok, 1992. "A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 123-152.
    7. Chan, Kalok & Chan, K C & Karolyi, G Andrew, 1991. "Intraday Volatility in the Stock Index and Stock Index Futures Markets," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 657-684.
    8. Giannikis, D. & Vrontos, I.D. & Dellaportas, P., 2008. "Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1549-1571, January.
    9. 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.
    10. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
    11. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-552, September.
    12. Triantafyllopoulos, Kostas, 2006. "Multivariate discount weighted regression and local level models," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3702-3720, August.
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    Cited by:

    1. Yao, Can-Zhong & Lin, Qing-Wen, 2017. "The mutual causality analysis between the stock and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 478(C), pages 188-204.
    2. 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.

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