to trade in underlying stocks. A small weakening in the contemporaneous relationship between stock index futures returns and stock index returns around both types of releases is also documented. This is consistent with disintegration in the relationship between the two markets associated with noise
The Lead-Lag Relationship Between Cash and Stock Index Futures in a New Market
β Scribed by Manolis G. Kavussanos; Ilias D. Visvikis; Panayotis D. Alexakis
- Book ID
- 111059147
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 135 KB
- Volume
- 14
- Category
- Article
- ISSN
- 1354-7798
No coin nor oath required. For personal study only.
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