Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models
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comunitat-uji-handle2:10234/8648
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Title
Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching modelsDate
2020-04-08Publisher
ElsevierBibliographic citation
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.Type
info:eu-repo/semantics/articlePublisher version
https://www.sciencedirect.com/science/article/pii/S1059056020300551Version
info:eu-repo/semantics/acceptedVersionAbstract
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. [-]
Investigation project
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).Rights
© 2020 Elsevier Inc. All rights reserved.
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