An Analysis of the Lead-lag Relationship Between the FTSE 100 Index Futures and FTSE 100 Index Cash Markets PDF Download
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Author: I. Banerjee
Publisher:
ISBN:
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Languages : en
Pages :
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Author: I. Banerjee
Publisher:
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Languages : en
Pages :
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Author: Chris Brooks
Publisher:
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Category :
Languages : en
Pages :
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This paper examines the lead-lag relationship between the FTSE 100 index and index futures price employing a number of time series models. Using ten-minutely observations from June 1996-1997, it is found that lagged changes in the futures price can help to predict changes in the spot price. The best forecasting model is of the error correction type, allowing for the theoretical difference between spot and futures prices according to the cost of carry relationship. This predictive ability is in turn utilised to derive a trading strategy which is tested under real-world conditions to search for systematic profitable trading opportunities. It is revealed that although the model forecasts produce significantly higher returns than a passive benchmark, the model was unable to outperform the benchmark after allowing for transaction costs.
Author: Alex Frino
Publisher:
ISBN:
Category :
Languages : en
Pages : 27
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In this paper, we consider the impact of the introduction of LIFFE CONNECT on the lead-lag relationship between the FTSE100 index and its futures. In general, the results of this study suggest that the move to screen trading strengthens the simultaneity of price discovery in the cash and futures markets and lessens the existence of a lead-lag relationship. This evidence differs to that of the previous literature which has generally found a strengthening of the lead of the futures market to the cash market. The reason for this difference in results is most likely a reflection of the fact that the cash market was generally floor traded in the previous literature, while in this study the FTSE100 was screen traded.
Author: M. Agarwal
Publisher: Springer
ISBN: 1137359927
Category : Business & Economics
Languages : en
Pages : 258
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This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.
Author: Wai-Siang Tan
Publisher:
ISBN:
Category :
Languages : en
Pages : 1
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This paper uses linear and nonlinear Granger causality tests to study the lead-lag relationship between FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBM KLCI) and Kuala Lumpur Composite Index Futures (FKLI). We apply a new nonparametric test for Granger causality test by Diks and Panchenko (2006) and linear Granger causality test on the daily return time series. Both tests provide evidence of bi-directional Granger causality relations between cash and futures market before and after implementation of the new index. However, the evidence shows that since the implementation of new index in which number of constituents reduces from 100 to 30 and change in the calculation methodology and rule, the effect of cash market lead futures market has increased.
Author: Ilias Visvikis
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of stock index futures and the underlying cash index in the FTSE/ASE-20 and FTSE/ASE Mid-40 markets of the Athens Stock Exchange. Empirical results confirm previous findings that there is a large contemporaneous relation, together with asymmetric lead-lag behaviour between the cash and futures markets. There is evidence that the futures lead the cash index returns, by responding more rapidly to economic events than stock prices. This asymmetric lead-lag relation can be attributed to the predictive power of futures returns, supporting the price discovery hypothesis that new market information is disseminated faster in the futures market compared to the stock market. After examining whether daily volatility in futures prices has systematically lead daily volatility in the cash index, the results provide a weak indication that cash volatility spills some information in the futures market volatility in the FTSE/ASE-20 market. In the FTSE/ASE Mid-40 market, the results indicate that there are robust volatility spillovers from the futures to the cash market, which imply that the futures market can be used as a price discovery vehicle.
Author: Sotirios Karagiannis
Publisher:
ISBN:
Category :
Languages : en
Pages : 50
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This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of FTSE/ASE-20 futures and the underlying FTSE/ASE-20 cash index of the Athens Stock Exchange. The results suggest that there is a bidirectional causality between spot and futures returns, rejecting the usual result of futures leading spot market. However, spot market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by using a bivariate EGARCH(1,1) model. This model is found to capture all the volatility dynamics. The results indicate that the transmission of volatility is bidirectional. Any piece of information that is released by the cash market has an effect on futures market volatility, and vice versa. Nevertheless, the volatility spillover from spot to futures market is slightly stronger than in the reverse direction.
Author: Dr Saif Siddiqui
Publisher: Dr Saif Siddiqui
ISBN: 8192233146
Category : Education
Languages : en
Pages : 845
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Edited Conference Proceedings Volume I
Author: Hammad Mehmood
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Gary Robinson
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 48
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