Logo


BUSINESS AND ECONOMICS RESEARCH JOURNAL

Language
LogoEnglish
LogoTürkçe
 
Makale Bilgileri
Dergi: İşletme ve Ekonomi Araştırmaları Dergisi
Makalenin Başlığı: Intraday Lead-Lag Relationship between Stock Index and Stock Index Futures Markets: Evidence from Turkey
Yazar(lar):  Ersan Ersoy, Levent Çıtak
Cilt: 6
Sayı: 3
Yıl: 2015
Sayfa: 1-18
ISSN: 1309-2448
Öz
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.
Anahtar Kelimeler: Lead-Lag relationship, price discovery, volatility relationship
JEL Sınıflandırması: G13, G14, G15

http://www.berjournal.com/wp-content/plugins/downloads-manager/img/icons/pdf.gif Full Text

User Log in

Username

Password

  

Remember Me

Register
Lost Password ?