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BUSINESS AND ECONOMICS RESEARCH JOURNAL

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Article Information
Journal: Business and Economics Research Journal
Title of Article: Intraday Lead-Lag Relationship between Stock Index and Stock Index Futures Markets: Evidence from Turkey
Author(s): Ersan Ersoy, Levent Çıtak
Volume: 6
Number: 3
Year: 2015
Page: 1-18
ISSN: 1309-2448
Abstract
In perfectly frictionless and rational markets, spot markets and futures markets should simultaneously reflect new information. However, due to market imperfections, one of these markets may reflect information faster than the other and therefore may lead to the other. This study examines the lead-lag relationship between stock index and stock index futures, in terms of both price and volatility, by using 5 minute data over 2007-2010 period. The findings of this study indicate that a stable long-term relationship between Turkish stock index and stock index futures exists, however stock index futures do not lead stock index and there is a two way interaction between them. Therefore neither of the markets is dominant over the other one in the price formation process.
Keywords: Lead-Lag relationship, price discovery, volatility relationship
JEL Classification: G13, G14, G15

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