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Information transmission across stock indices and stock index futures: International evidence using wavelet framework

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  • Aloui, Chaker
  • Hkiri, Besma
  • Lau, Marco Chi Keung
  • Yarovaya, Larisa

Abstract

This paper provides international evidence on dynamic linkages between stock indices and stock index futures using daily data on 11 emerging and developed markets for the period from 3 October 2010 to 3 October 2014. In this study, we focus on the major wavelets tools: individual power spectrum, cross-wavelet power and wavelet coherency. The results show that the co-movement between spot and futures indices reveals an erratic behaviour. The paper also identifies the difference in patterns of comovements for emerging and developed markets, which makes empirical results highly significant for practitioners and policy makers.

Suggested Citation

  • Aloui, Chaker & Hkiri, Besma & Lau, Marco Chi Keung & Yarovaya, Larisa, 2018. "Information transmission across stock indices and stock index futures: International evidence using wavelet framework," Research in International Business and Finance, Elsevier, vol. 44(C), pages 411-421.
    • Handle: RePEc:eee:riibaf:v:44:y:2018:i:c:p:411-421
    DOI: 10.1016/j.ribaf.2017.07.112
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    7. Zainudin, Ahmad Danial & Mohamad, Azhar, 2021. "Financial contagion in the futures markets amidst global geo-economic events," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 288-308.
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    More about this item

    Keywords

    Spot futures interlinkages; Wavelet methodology; Wavelet coherence; Emerging markets;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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