The lead-lag relationship between the stock market and stock index futures market in Japan

被引:0
|
作者
Chung, YP [1 ]
Kang, JK [1 ]
Rhee, SG [1 ]
机构
[1] UNIV CALIF RIVERSIDE,A GARY ANDERSON GRAD SCH MANAGEMENT,RIVERSIDE,CA 92521
来源
关键词
D O I
暂无
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:9 / 32
页数:24
相关论文
共 50 条
  • [1] The Lead-Lag Relationship Between Cash and Stock Index Futures in a New Market
    Kavussanos, Manolis G.
    Visvikis, Ilias D.
    Alexakis, Panayotis D.
    [J]. EUROPEAN FINANCIAL MANAGEMENT, 2008, 14 (05) : 1007 - 1025
  • [2] Measuring the dynamic lead-lag relationship between the cash market and stock index futures market
    Ma, Chaoqun
    Xiao, Ru
    Mi, Xianhua
    [J]. FINANCE RESEARCH LETTERS, 2022, 47
  • [3] A FURTHER ANALYSIS OF THE LEAD-LAG RELATIONSHIP BETWEEN THE CASH MARKET AND STOCK INDEX FUTURES MARKET
    CHAN, KL
    [J]. REVIEW OF FINANCIAL STUDIES, 1992, 5 (01): : 123 - 152
  • [4] The lead-lag relationship between stock index options and the stock index market Model, moneyness, and news
    Kim, Sol
    Kim, In Joon
    Nam, Seung Oh
    [J]. INTERNATIONAL JOURNAL OF MANAGERIAL FINANCE, 2009, 5 (03) : 311 - +
  • [5] The lead-lag relationship between stock index and stock index futures: A thermal optimal path method
    Gong, Chen-Chen
    Ji, Shen-Dan
    Su, Li-Ling
    Li, Sai-Ping
    Ren, Fei
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2016, 444 : 63 - 72
  • [6] A further investigation of the lead-lag relationship between the spot market and stock index futures: Early evidence from Korea
    Min, JH
    Najand, M
    [J]. JOURNAL OF FUTURES MARKETS, 1999, 19 (02) : 217 - 232
  • [7] A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France
    Shyy, G
    Vijayraghavan, V
    ScottQuinn, B
    [J]. JOURNAL OF FUTURES MARKETS, 1996, 16 (04) : 405 - 420
  • [8] Lead-Lag Effect in the Stock Market of BRICS
    Tonin, Julyerme Matheus
    Tonin, Joao Ricardo
    Cunha, Marina da Silva
    Bornia, Jose Carlos
    [J]. TRANSNATIONAL CORPORATIONS REVIEW, 2013, 5 (04) : 54 - 66
  • [9] The lead-lag relationship between equities and stock index futures markets around information releases
    Frino, A
    Walter, T
    West, A
    [J]. JOURNAL OF FUTURES MARKETS, 2000, 20 (05) : 467 - 487
  • [10] Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic
    Liu, Wenwen
    Gui, Yiming
    Qiao, Gaoxiu
    [J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2022, 61