Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets: Evidence from Malaysia

• Main Authors: Jude W. Taunson, Mohd. Fahmi Bin Ghazali, Minah Japang, Abd. Kamal Bin Char
• Format: Article
• Language: English; English
• Published: 2018
• Subjects: HG Finance
• Online Access: https://eprints.ums.edu.my/id/eprint/25218/1/Intraday%20Lead-Lag%20Relationship%20between%20Index%20Futures%20and%20Stock%20Index%20Markets%20Evidence%20from%20Malaysia.pdf; https://eprints.ums.edu.my/id/eprint/25218/7/Intraday%20Lead-Lag%20Relationship%20between%20Index%20Futures%20and%20Stock%20Index%20Markets%20Evidence%20from%20Malaysia1.pdf; https://eprints.ums.edu.my/id/eprint/25218/; https://doi.org/10.17265/1548-6583/2018.10.003

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-direc...