{"id":3082,"date":"2015-09-15T16:20:26","date_gmt":"2015-09-15T13:20:26","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=3082"},"modified":"2016-01-14T16:50:42","modified_gmt":"2016-01-14T14:50:42","slug":"intraday-lead-lag-relationship-between-stock-index-and-stock-index-futures-markets-evidence-from-turkey","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/intraday-lead-lag-relationship-between-stock-index-and-stock-index-futures-markets-evidence-from-turkey","title":{"rendered":"Intraday Lead-Lag Relationship between Stock Index and Stock Index Futures Markets: Evidence from Turkey"},"content":{"rendered":"\n\n\n\n
Article Information<\/td>\n<\/tr>\n
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Journal:<\/td>\nBusiness and Economics Research Journal<\/td>\n<\/tr>\n
Title of Article:<\/td>\nIntraday Lead-Lag Relationship between Stock Index and Stock Index Futures Markets: Evidence from Turkey<\/td>\n<\/tr>\n
Author(s):<\/td>\nErsan Ersoy,\u00a0Levent \u00c7\u0131tak<\/td>\n<\/tr>\n
Volume:<\/td>\n6<\/td>\n<\/tr>\n
Number:<\/td>\n3<\/td>\n<\/tr>\n
Year:<\/td>\n2015<\/td>\n<\/tr>\n
Page:<\/td>\n1-18<\/td>\n<\/tr>\n
ISSN:<\/td>\n1309-2448<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
Abstract<\/td>\n<\/tr>\n
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.<\/td>\n<\/tr>\n
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Keywords:<\/td>\nLead-Lag relationship, price discovery, volatility relationship<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL Classification:<\/td>\nG13, G14, G15<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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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,\u00a0Levent \u00c7\u0131tak 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 […]<\/p>\n

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