Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets: Evidence from Malaysia
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...
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Main Authors: | , , , |
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Format: | Article |
Language: | English English |
Published: |
2018
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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 |
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