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The Dynamics of Stock Index and Stock Index Futures Returns

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  1. Kang, Jangkoo & Park, Hyoung-Jin, 2008. "The information content of net buying pressure: Evidence from the KOSPI 200 index option market," Journal of Financial Markets, Elsevier, vol. 11(1), pages 36-56, February.
  2. Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Journal of Econometrics, Elsevier, vol. 160(1), pages 235-245, January.
  3. Ming‐Yuan Leon Li, 2009. "The dynamics of the relationship between spot and futures markets under high and low variance regimes," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(6), pages 696-718, November.
  4. Surya Chelikani & Frank P. D'Souza, 2014. "The Effect of Regulation Fair Disclosure on Market Integration," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(4), pages 43-62.
  5. Turan G. Bali & Armen Hovakimian, 2009. "Volatility Spreads and Expected Stock Returns," Management Science, INFORMS, vol. 55(11), pages 1797-1812, November.
  6. Frino, Alex & Jarnecic, Elvis & Lepone, Andrew, 2009. "An event time study of the price reaction to large retail trades," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 617-632, May.
  7. Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013. "An analysis of commodity markets: What gain for investors?," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3878-3889.
  8. Arago, V. & Corredor, P. & Santamaria, R., 2003. "Transaction costs, arbitrage, and volatility spillover: a note," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 399-415.
  9. Marie‐Claude Beaulieu & Jean‐Claude Cosset & Naceur Essaddam, 2006. "Political uncertainty and stock market returns: evidence from the 1995 Quebec referendum," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 39(2), pages 621-642, May.
  10. Huang, Hong-Gia & Tsai, Wei-Che & Weng, Pei-Shih & Wu, Ming-Hung, 2021. "Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan," Journal of Financial Markets, Elsevier, vol. 52(C).
  11. Paul Kupiec, 1998. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(3), pages 231-255, June.
  12. Imran Riaz MALIK* & Attaullah SHAH*, 2014. "Market Varying Conditional Risk-Return Relationship," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 24(2), pages 121-142.
  13. Eric Jondeau & Xuewu Wang & Zhipeng Yan & Qunzi Zhang, 2020. "Skewness and index futures return," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1648-1664, November.
  14. Ito, Akitoshi, 1999. "Profits on technical trading rules and time-varying expected returns: evidence from Pacific-Basin equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 283-330, August.
  15. Helder Sebastião, 2008. "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers 2008-07, GEMF, Faculty of Economics, University of Coimbra.
  16. Dimitris Kenourgios, 2005. "Price Discovery In The Athens Derivatives Exchange: Evidence For The Ftse/Ase-20 Futures Market," Finance 0512014, University Library of Munich, Germany.
  17. Stanislaus Maier-Paape & Andreas Platen, 2015. "Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process," Papers 1504.06235, arXiv.org.
  18. Shi-jie Jiang & Matthew Chang & I-chan Chiang, 2012. "Price discovery in stock index: an ARDL-ECM approach in Taiwan case," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(4), pages 1227-1238, June.
  19. Chan, K. C. & Karolyi, G. Andrew & Stulz, ReneM., 1992. "Global financial markets and the risk premium on U.S. equity," Journal of Financial Economics, Elsevier, vol. 32(2), pages 137-167, October.
  20. 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," European Financial Management, European Financial Management Association, vol. 20(2), pages 352-373, March.
  21. R. M. Eldridge & Maurice Peat & Max Stevenson, 2003. "The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets," Working Paper Series 122, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  22. Chen, Chin-Ho & Yuan, Shu-Fang, 2024. "Misreaction, hedging pressure, and its effect on the futures market," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
  23. Stanislaus Maier-Paape & Andreas Platen, 2016. "Lead–Lag Relationship Using a Stop-and-Reverse-MinMax Process," Risks, MDPI, vol. 4(3), pages 1-20, July.
  24. Erik Theissen, 2012. "Price discovery in spot and futures markets: a reconsideration," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 969-987, November.
  25. Lafuente, Juan A. & Novales, Alfonso, 2003. "Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1053-1078, June.
  26. Lin, Mei-Yin & An, Che-Lun, 2021. "The relationship between Bitcoin and resource commodity futures: Evidence from NARDL approach," Resources Policy, Elsevier, vol. 74(C).
  27. Kai-Li Wang & Mei-Ling Chen, 2007. "The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 371-394, November.
  28. Guntur Anjana Raju & Sanjeeta Shirodkar, 2020. "The Lead Lag Relationship between Spot and Futures Markets in the Energy Sector: Empirical Evidence from Indian Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 409-414.
  29. Kao, Chung-Wei & Wan, Jer-Yuh, 2009. "Information transmission and market interactions across the Atlantic -- an empirical study on the natural gas market," Energy Economics, Elsevier, vol. 31(1), pages 152-161, January.
  30. Fernandez-Perez, Adrian & Miffre, Joëlle & Schoen, Tilman & Scott, Ayesha, 2023. "Do spot market auction data help price discovery?," Journal of Commodity Markets, Elsevier, vol. 31(C).
  31. Tse, Yiuman, 2001. "Index arbitrage with heterogeneous investors: A smooth transition error correction analysis," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1829-1855, October.
  32. Jing Hao & Xiong Xiong & Feng He & Feng Ma, 2019. "Price Discovery in the Chinese Stock Index Futures Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(13), pages 2982-2996, October.
  33. Kourtis, Apostolos, 2014. "On the distribution and estimation of trading costs," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 104-117.
  34. Dmitriy Muravyev & Joerg Picard, 2022. "Does trade clustering reduce trading costs? Evidence from periodicity in algorithmic trading," Financial Management, Financial Management Association International, vol. 51(4), pages 1201-1229, December.
  35. Kapil Gupta & Balwinder Singh, 2009. "Information Memory and Pricing Efficiency of Futures Contracts," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 191-250, May.
  36. Wang, Yun-Yi & Chang, Chiung-Chiao & Lee, Wan-Chen, 2013. "Price discovery between regular and mini index futures in the Taiwan Futures Exchange," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 224-237.
  37. Liu, Wenwen & Gui, Yiming & Qiao, Gaoxiu, 2022. "Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic," Research in International Business and Finance, Elsevier, vol. 61(C).
  38. P. Sakthivel & Krishna Reddy Chittedi & Daniel Sakyi, 2017. "Price Discovery and Volatility Transmission in Currency Spot and Futures Markets in India: An Empirical Analysis," Global Business Review, International Management Institute, vol. 20(4), pages 931-945, August.
  39. Lobato, Ignacio N & Savin, N E, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 261-268, July.
  40. Safvenblad, Patrik, 2000. "Trading volume and autocorrelation: Empirical evidence from the Stockholm Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1275-1287, August.
  41. D Brookfield & A Azizan, 2006. "Contagion and the Role of Market Development: the Case of the Malaysian Futures Market during the East Asian Crisis of 1997," Economic Issues Journal Articles, Economic Issues, vol. 11(2), pages 1-18, September.
  42. IKEDA Shin Suke, 2017. "Illiquidity in the Japan Electric Power Exchange," Discussion papers 17122, Research Institute of Economy, Trade and Industry (RIETI).
  43. Charoula Daskalaki, 2021. "New evidence on commodity stocks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 811-874, June.
  44. Mercer, Jeffrey M., 1997. "An alternative specification for intraday simultaneity in spot and futures markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 667-682.
  45. Frino, Alex & Jarnecic, Elvis & Johnstone, David & Lepone, Andrew, 2005. "Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 13(3), pages 247-262, June.
  46. Lee, Ming-Chih & Chiu, Chien-Liang & Lee, Yen-Hsien, 2007. "Is twin behavior of Nikkei 225 index futures the same?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 199-210.
  47. Day, Theodore E. & Wang, Pingying, 2002. "Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 431-454, November.
  48. Doojin Ryu & Jinyoung Yu, 2022. "Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 61-76, January.
  49. H. Kent Baker & Abdul Rahman & Samir Saadi, 2008. "The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 280-295, December.
  50. Berglund, T. & Kabir, R., 1995. "What explains the difference between the futures' price and its "fair" value? : evidence from the european options exchange," Other publications TiSEM 323234f7-ff9e-46bb-aa61-7, Tilburg University, School of Economics and Management.
  51. Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2020. "Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 269-280.
  52. Shuxin Guo, 2021. "Do futures lead the index under stress? Evidence from the 2015 Chinese market turmoil and its aftermath," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 91-110, January.
  53. Hou, Yang & Li, Steven, 2014. "The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 319-337.
  54. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2013. "Market efficiency in the European carbon markets," Energy Policy, Elsevier, vol. 60(C), pages 785-792.
  55. Elsayed, Ahmed H. & Asutay, Mehmet & ElAlaoui, Abdelkader O. & Bin Jusoh, Hashim, 2024. "Volatility spillover across spot and futures markets: Evidence from dual financial system," Research in International Business and Finance, Elsevier, vol. 71(C).
  56. de Jong, Frank & Nijman, Theo, 1997. "High frequency analysis of lead-lag relationships between financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 259-277, June.
  57. Narayan, Seema & Narayan, Paresh Kumar, 2017. "Estimating the speed of adjustment to target levels: The case of energy prices," Energy Economics, Elsevier, vol. 62(C), pages 419-427.
  58. Antonios Antoniou & Gregory Koutmos & Gioia Pescetto, 2011. "Testing for Long Memory in the Feedback Mechanism in the Futures Markets," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 3(2), pages 78-90, September.
  59. Nam, Seung Oh & Oh, SeungYoung & Kim, Hyun Kyung & Kim, Byung Chun, 2006. "An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 398-414.
  60. Yang Hu & Yang (Greg) Hou & Les Oxley, 2019. "Spot and Futures Prices of Bitcoin: Causality, Cointegration and Price Discovery from a Time-Varying Perspective," Working Papers in Economics 19/13, University of Waikato.
  61. Jürgen Gaul & Erik Theissen, 2015. "A Partially Linear Approach to Modeling the Dynamics of Spot and Futures Prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 371-384, April.
  62. Poshakwale, Sunil & Theobald, Michael, 2004. "Market capitalisation, cross-correlations, the lead/lag structure and microstructure effects in the Indian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 385-400, October.
  63. Hoque, Ariful & Le, Thi & Hasan, Morshadul & Abedin, Mohammad Zoynul, 2024. "Does market efficiency matter for Shanghai 50 ETF index options?," Research in International Business and Finance, Elsevier, vol. 67(PB).
  64. Piet Sercu & Martina Vandebroek & Tom Vinaimont, 2008. "Thin-Trading Effects in Beta: Bias "v." Estimation Error," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(9-10), pages 1196-1219.
  65. Ahoniemi, Katja & Lanne, Markku, 2010. "Realized volatility and overnight returns," Research Discussion Papers 19/2010, Bank of Finland.
  66. Gkillas, Konstantinos & Vortelinos, Dimitrios I. & Babalos, Vassilios & Wohar, Mark E., 2021. "Day-of-the-week effect and spread determinants: Some international evidence from equity markets," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 268-288.
  67. Longin, François, 1999. "From Value at Risk to Stress Testing: The Extreme Value Approach," CEPR Discussion Papers 2161, C.E.P.R. Discussion Papers.
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