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What market (spot or future) reflects news first? An analysis in the frequency domain for Brazilian stock market

Author

Listed:
  • Diogo de Prince

    (PhD student at Getulio Vargas Foundation in Brazil)

  • Alexandre Monte

    (MA at Getulio Vargas Foundation in Brazil)

Abstract

What market (spot or future) reflects news first? This question is investigated with Granger causality and Breitung and Candelon (2006) causality test in the frequency domain for Brazilian stock market. The results differ depending on which index (ETF, exchange traded funds, or the spot index) is used for the spot market. The future market causes the index and ETF (for most of the frequency). But ETF only helps to predict future market for intraday operations in the very short term.

Suggested Citation

  • Diogo de Prince & Alexandre Monte, 2013. "What market (spot or future) reflects news first? An analysis in the frequency domain for Brazilian stock market," Economics Bulletin, AccessEcon, vol. 33(3), pages 1780-1787.
    • Handle: RePEc:ebl:ecbull:eb-13-00309
    as

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    References listed on IDEAS

    as
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    3. Laurent Deville & Carole Gresse & Béatrice de Séverac, 2014. "Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40 Index," Post-Print halshs-00641118, HAL.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Price discovery; futures market; spot market; frequency domain;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

    Statistics

    Access and download statistics

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