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Temporal relationships and dynamic interactions between spot and futures stock markets

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  • Gregory Koutmos
  • Michael Tucker

Abstract

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Suggested Citation

  • Gregory Koutmos & Michael Tucker, 1996. "Temporal relationships and dynamic interactions between spot and futures stock markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(1), pages 55-69, February.
  • Handle: RePEc:wly:jfutmk:v:16:y:1996:i:1:p:55-69
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    Cited by:

    1. Jahangir Sultan, 2012. "Options on federal funds futures and interest rate volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(4), pages 330-359, April.
    2. repec:eee:ememar:v:37:y:2018:i:c:p:98-113 is not listed on IDEAS
    3. repec:eee:empfin:v:43:y:2017:i:c:p:59-73 is not listed on IDEAS
    4. 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.
    5. Wang, Xi & Yang, Jiao-Hui & Wang, Kai-Li & Fawson, Christopher, 2017. "Dynamic information spillovers in intraregionally-focused spot and forward currency markets," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 78-110.
    6. Hou, Yang & Nartea, Gilbert, 2017. "Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash," MPRA Paper 81995, University Library of Munich, Germany.
    7. Sogiakas, Vasilios & Karathanassis, George, 2015. "Informational efficiency and spurious spillover effects between spot and derivatives markets," Global Finance Journal, Elsevier, vol. 27(C), pages 46-72.
    8. Wen-Hsiu Kuo & Hsinan Hsu & Min-Hsien Chiang, 2008. "Foreign investment, regulation, volatility spillovers between the futures and spot markets: evidence from Taiwan," Applied Financial Economics, Taylor & Francis Journals, vol. 18(5), pages 421-430.
    9. P. Srinivasan & P. Ibrahim, 2012. "Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 5(3), pages 65-80, December.
    10. Bozic, Marin, 2011. "Three essays in commodity futures and options price performance," Faculty and Alumni Theses and Dissertations 160678, University of Minnesota, Department of Applied Economics.
    11. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
    12. Berezinets Irina & Ilina Yulia & Muravyev Alexander, 2011. "Owners, Boards, Managers and the Private Benefits of Control: A Study of Dual Class Stock Firms in an Emerging Market," EERC Working Paper Series 11/12e, EERC Research Network, Russia and CIS.
    13. Manolis G. Kavussanos & Ilias D. Visvikis & Panayotis D. Alexakis, 2008. "The Lead‐Lag Relationship Between Cash and Stock Index Futures in a New Market," European Financial Management, European Financial Management Association, vol. 14(5), pages 1007-1025, November.
    14. repec:eee:pacfin:v:44:y:2017:i:c:p:13-26 is not listed on IDEAS
    15. Jia, Rui-Lin & Wang, Dong-Hua & Tu, Jing-Qing & Li, Sai-Ping, 2016. "Correlation between agricultural markets in dynamic perspective—Evidence from China and the US futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 464(C), pages 83-92.
    16. repec:gam:jjrfmx:v:12:y:2019:i:2:p:98-:d:238426 is not listed on IDEAS
    17. repec:eee:riibaf:v:44:y:2018:i:c:p:135-152 is not listed on IDEAS
    18. repec:taf:oaefxx:v:5:y:2017:i:1:p:1389675 is not listed on IDEAS
    19. Shihabudheen, M.T. & Padhi, Puja, 2010. "Price Discovery and Volatility Spillover Effect in Indian Commodity Market," Indian Journal of Agricultural Economics, Indian Society of Agricultural Economics, vol. 65(1), pages 1-17.
    20. Okur, Mustafa & Cevik, Emrah Ismail, 2013. "Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE," MPRA Paper 71477, University Library of Munich, Germany, revised 2013.

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