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Investigation of a lead‐lag relationship between spot stock indices and their futures contracts

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  • Anthony F. Herbst
  • Joseph P. McCormack
  • Elizabeth N. West

Abstract

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  • Anthony F. Herbst & Joseph P. McCormack & Elizabeth N. West, 1987. "Investigation of a lead‐lag relationship between spot stock indices and their futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(4), pages 373-381, August.
    • Handle: RePEc:wly:jfutmk:v:7:y:1987:i:4:p:373-381
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    Cited by:

    1. P. Sakthivel & Krishna Reddy Chittedi & Daniel Sakyi, 2017. "Price Discovery and Volatility Transmission in Currency Spot and Futures Markets in India: An Empirical Analysis," Global Business Review, International Management Institute, vol. 20(4), pages 931-945, August.
    2. José Da Fonseca & Riadh Zaatour, 2017. "Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(3), pages 260-285, March.
    3. Shashi Gupta & Himanshu Choudhary & D. R. Agarwal, 2018. "An Empirical Analysis of Market Efficiency and Price Discovery in Indian Commodity Market," Global Business Review, International Management Institute, vol. 19(3), pages 771-789, June.
    4. Madhusudan Karmakar & Sarveshwar Inani, 2019. "Information share and its predictability in the Indian stock market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1322-1343, October.
    5. 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).
    6. Muthucattu Thomas Paul, 2018. "The Issues and Implications About the Volatility of the Stock and the Bond Prices and Their Returns and the Volatility of Interest Rates and Inflation - Which Are Being Researched in Finance and Macro," Applied Economics and Finance, Redfame publishing, vol. 5(2), pages 125-142, March.
    7. Xiaoli Wang, 2015. "An Empirical Analysis of Lead-Lag Relationship among Various Financial Markets," Accounting and Finance Research, Sciedu Press, vol. 4(2), pages 1-60, May.
    8. Chris Brooks & Ian Garrett & Melvin Hinich, 1999. "An alternative approach to investigating lead-lag relationships between stock and stock index futures markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(6), pages 605-613.
    9. Chaiyuth Padungsaksawasdi & Ali Parhizgari, 2017. "Major Currency ETFs and Their Associated Spot and Futures Rates," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-32, December.
    10. Takashi Oga, 2021. "Intertemporal Cointegration Model: A New Approach to the Lead–Lag Relationship Between Cointegrated Time Series," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 27-53, April.
    11. Kotaro Miwa, 2019. "Stock Futures of a Flawed Market Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 1-21, March.
    12. Kuck, Konstantin & Schweikert, Karsten, 2023. "Price discovery in equity markets: A state-dependent analysis of spot and futures markets," Journal of Banking & Finance, Elsevier, vol. 149(C).
    13. Yin-Wong Cheung & Hung-Gay Fung, 1997. "Information Flows Between Eurodollar Spot and Futures Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(4), pages 255-271, December.

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