Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market

A further investigation of the lead-lag

A further investigation of the lead-lag relationship between the spot market and stock index futures: Early evidence from Korea

✍ Min, Jae H.; Najand, Mohammad 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 213 KB 👁 2 views

In this article, we investigate possible lead and lag relationship in returns and volatilities between cash and futures markets in Korea. Utilizing intraday data from the newly established futures market in Korea, we find that the futures market leads the cash market by as long as 30 minutes. This r