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An examination of the relationship between stock index cash and futures markets: A cointegration approach

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  1. 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.
  2. Junior, Peterson Owusu & Tiwari, Aviral Kumar & Padhan, Hemachandra & Alagidede, Imhotep, 2020. "Analysis of EEMD-based quantile-in-quantile approach on spot- futures prices of energy and precious metals in India," Resources Policy, Elsevier, vol. 68(C).
  3. Hyun-Jung Ryoo & Graham Smith, 2004. "The impact of stock index futures on the Korean stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(4), pages 243-251.
  4. Bernardina Algieri & Matthias Kalkuhl, 2019. "Efficiency and Forecast Performance of Commodity Futures Markets," American Journal of Economics and Business Administration, Science Publications, vol. 11(1), pages 19-34, June.
  5. Judge, Amrit & Reancharoen, Tipprapa, 2014. "An empirical examination of the lead–lag relationship between spot and futures markets: Evidence from Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 335-358.
  6. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2021. "Forty years of the Journal of Futures Markets: A bibliometric overview," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1027-1054, July.
  7. Qiang Liu & Gaoxiu Qiao, 2017. "The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market," Empirical Economics, Springer, vol. 52(4), pages 1569-1585, June.
  8. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2021. "Political uncertainty, COVID-19 pandemic and stock market volatility transmission," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  9. Hu, Yang & Hou, Yang Greg & Oxley, Les, 2020. "What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?," International Review of Financial Analysis, Elsevier, vol. 72(C).
  10. Shao, Ying-Hui & Yang, Yan-Hong & Shao, Hao-Lin & Stanley, H. Eugene, 2019. "Time-varying lead–lag structure between the crude oil spot and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 723-733.
  11. Sifat, Imtiaz Mohammad & Mohamad, Azhar & Mohamed Shariff, Mohammad Syazwan Bin, 2019. "Lead-Lag relationship between Bitcoin and Ethereum: Evidence from hourly and daily data," Research in International Business and Finance, Elsevier, vol. 50(C), pages 306-321.
  12. Fassas, Athanasios P. & Papadamou, Stephanos & Koulis, Alexandros, 2020. "Price discovery in bitcoin futures," Research in International Business and Finance, Elsevier, vol. 52(C).
  13. Jianqiang Hu & Tianxiang Wang & Wenwei Hu & Jun Tong, 2020. "The impact of trading restrictions and margin requirements on stock index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1176-1191, July.
  14. Kumar, Satish, 2018. "Price discovery in emerging currency markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 528-536.
  15. Partha Sarathi Roy & Tanupa Chakraborty, 2023. "Efficiency of Indian Equity Futures Market—An Empirical Analysis with reference to National Stock Exchange," Global Business Review, International Management Institute, vol. 24(6), pages 1326-1352, December.
  16. Wei Bao & Jun Yue & Yulei Rao, 2017. "A deep learning framework for financial time series using stacked autoencoders and long-short term memory," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-24, July.
  17. 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.
  18. Eduardo Rossi & Paolo Santucci de Magistris, 2013. "A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(1), pages 77-102, January.
  19. 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.
  20. Chen, Yu-Lun & Tsai, Wei-Che, 2017. "Determinants of price discovery in the VIX futures market," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 59-73.
  21. 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.
  22. Antonakakis, Nikolaos & Floros, Christos & Kizys, Renatas, 2016. "Dynamic spillover effects in futures markets: UK and US evidence," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 406-418.
  23. Shashi Gupta & Himanshu Choudhary & D. R. Agarwal, 2018. "An Empirical Analysis of Market Efficiency and Price Discovery in Indian Commodity Market," Global Business Review, International Management Institute, vol. 19(3), pages 771-789, June.
  24. Sogiakas, Vasilios & Karathanassis, George, 2015. "Informational efficiency and spurious spillover effects between spot and derivatives markets," Global Finance Journal, Elsevier, vol. 27(C), pages 46-72.
  25. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, Department of Economics and Business Economics, Aarhus University.
  26. Sanjay Sehgal & Mala Dutt, 2016. "Domestic and international information linkages between NSE Nifty spot and futures markets: an empirical study for India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 43(3), pages 239-258, September.
  27. Mohammed Arshad Khan & Md. Mobashshir Hussain & Asif Pervez & Mohd Atif & Rohit Bansal & Hamad A. Alhumoudi & Miaochao Chen, 2022. "Intraday Price Discovery between Spot and Futures Markets of NIFTY 50: An Empirical Study during the Times of COVID-19," Journal of Mathematics, Hindawi, vol. 2022, pages 1-9, August.
  28. Sarveshwar Kumar Inani, 2017. "Price discovery in Indian stock index futures market: new evidence based on intraday data," International Journal of Indian Culture and Business Management, Inderscience Enterprises Ltd, vol. 14(1), pages 23-43.
  29. Chen, Xiangyu & Tongurai, Jittima, 2022. "Spillovers and interdependency across base metals: Evidence from China's futures and spot markets," Resources Policy, Elsevier, vol. 75(C).
  30. Li, Wei-Xuan & Chen, Clara Chia-Sheng & French, Joseph J., 2015. "Toward an early warning system of financial crises: What can index futures and options tell us?," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 87-99.
  31. Lee, Chyi Lin & Stevenson, Simon & Cho, Hyunbum, 2022. "Listed real estate futures trading, market efficiency, and direct real estate linkages: International evidence," Journal of International Money and Finance, Elsevier, vol. 127(C).
  32. Gong, Chen-Chen & Ji, Shen-Dan & Su, Li-Ling & Li, Sai-Ping & Ren, Fei, 2016. "The lead–lag relationship between stock index and stock index futures: A thermal optimal path method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 63-72.
  33. Karabiyik, Hande & Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Westerlund, Joakim, 2018. "Islamic spot and index futures markets: Where is the price discovery?," Pacific-Basin Finance Journal, Elsevier, vol. 52(C), pages 123-133.
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