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 currently available from this repository. You may be able to access a copy if URLs are provided)
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.
|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:||https://kar.kent.ac.uk/id/eprint/23575 (The current URI for this page, for reference purposes)|