Jude W. Taunson and Mohd. Fahmi Bin Ghazali and Minah Japang and Abd. Kamal Bin Char (2018) Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets: Evidence from Malaysia. Journal of Modern Accounting and Auditing, 14 (10). pp. 561-569.
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Abstract
This paper investigates the lead-lag relationship between the stock index futures (known as FKLI) and its underlying index, the Kuala Lumpur Composite Index (KLCI) in the emerging Malaysian market. Using 15-second interval data, cross-correlation, and the partial adjustment model, we find a bi-directional asymmetric lead-lag relationship and that the KLCI’s lead over FKLI is much stronger. The evidence also suggests that the KLCI returns over-react to information, more so once thin trading effects are considered. Overall, the evidences suggest that traders prefer to exploit stock specific information in the underlying market despite the advantages of trading the index futures.
| Item Type: | Article |
|---|---|
| Keyword: | lead-lag relations, index futures, emerging market |
| Subjects: | H Social Sciences > HG Finance |
| Department: | FACULTY > Labuan Faculty of International Finance |
| Depositing User: | SITI AZIZAH BINTI IDRIS - |
| Date Deposited: | 12 Mar 2020 16:30 |
| Last Modified: | 19 Jun 2020 00:00 |
| URI: | https://eprints.ums.edu.my/id/eprint/25218 |
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