Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models
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INVESTIGACIONMetadatos
Título
Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching modelsFecha de publicación
2020-04-08Editor
ElsevierCita bibliográfica
ALEMANY, Nuria; ARAGÓ, Vicent; SALVADOR, Enrique. Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models. International Review of Economics & Finance, 2020, 68: 269-280.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://www.sciencedirect.com/science/article/pii/S1059056020300551Versión
info:eu-repo/semantics/acceptedVersionPalabras clave / Materias
Resumen
This paper analyzes the impact of arbitrage opportunity changes on the price discovery process between the DAX30 index and the DAX30 index future within a short time scale. To this end, we use 5-min data, regime-swi ... [+]
This paper analyzes the impact of arbitrage opportunity changes on the price discovery process between the DAX30 index and the DAX30 index future within a short time scale. To this end, we use 5-min data, regime-switching models and the regime-dependent impulse response function. The results unveil the presence of nonlinearities in the cointegrating vector and the shortcomings of relying on linear assumptions. We also find that the presence of arbitrage opportunities alters the nature of the lead-lag dynamics: the more arbitrage opportunities, the greater the leading role of the futures market and the more pronounced the impact of unexpected shocks on prices. [-]
Proyecto de investigación
Universitat Jaume I of Castellón (Research Personal Program PREDOC/2014/14 and the project UJI-B2017-14) ; Spanish Ministry of Economy and Enterprise (project ECO2014/55221-P and ECO2017-85746-P).Derechos de acceso
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