An alternative approach in investigating lead-lag relationships between stock and stock index futures markets - comment

Hasan, Mohammad S (2005) An alternative approach in investigating lead-lag relationships between stock and stock index futures markets - comment. Applied Financial Economics Letters, 1 (2). pp. 125-130. (The full text of this publication is not available from this repository)

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Official URL
http://dx.doi.org/10.1080/17446540500047296

Abstract

This study re-examines and reinterprets the empirical results of Brooks et al. (1999) which investigated the lead-lag relationship between stock indices and stock index futures markets. Contrary to the contention of Brooks et al. that the stock index futures market leads the stock market, it is found that their linear Granger causality tests exhibit overwhelming evidence of a contemporaneous relationship and a bidirectional relationship between spot and futures returns. The interpretation of the empirical evidence of Brooks et al., although different from theirs, is equally supportive of the theoretical predictions of the cost-of-carry model and the efficient market hypothesis.

Item Type: Article
Subjects: H Social Sciences
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Rebecca Stevenson
Date Deposited: 06 Jan 2010 13:39
Last Modified: 06 Jan 2010 13:39
Resource URI: http://kar.kent.ac.uk/id/eprint/23575 (The current URI for this page, for reference purposes)
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