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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

Article Abstract:

The lead-lag relationship between futures and cash markets is analyzed using data of French stock transaction prices and bid/ask quotes from the Matif and the Paris Bourse.The lead-lag relationship of the cash market and the stock index futures market has been well researched using transaction data. Price movements in the futures markets have been found to consistently lead the stock index movements. Lower transaction costs and lessened restrictions in short selling in the futures market may account for the lead-lag relationship between the futures and cash index markets.

Author: Shyy, Gang, Vijayraghavan, Vasumathi, Scott-Quinn, Brian
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1996
France, Futures market, Futures markets, Securities

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The components of bid-ask spread and their determinants: TAIFEX versus SGX-DT

Article Abstract:

The intraday components of bid-ask spread in Taiwan stock index futures traded on Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGT-DT) are discussed. Variables determining the components of the spread are examined. Various models with regard to this are also discussed.

Author: Yu Chuan Huang
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
Taiwan, Commercial Banks, Marketing procedures, Singapore, Banking industry, Marketing, Company marketing practices, Singapore Exchange Derivatives Trading Ltd., Taiwan Futures Exchange

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Price discovery in the Hang Seng Index Markets: index, futures, and the tracker fund

Article Abstract:

The price discovery among the Hang Seng Index markets is examined with help of Hasbrouk and Gonzalo and granger common-factor models and the multivariate generalized autoregressive conditional hetroskedasticity (M-GARCH) model.

Author: Raymond W. So, Yiuman Tse
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
Services information, Hong Kong, Security brokers and dealers, Securities & Commodities Services, Securities, Commodity Contracts, and Other Financial Investments and Related Activities, Services, Securities industry, Hong Kong Futures Exchange Ltd.

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Subjects list: Analysis, Stock index futures
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