Price discovery between index futures and spot markets

• Main Authors: Sifat, Imtiaz Mohamma, Mohamad, Azhar, Amin, Kevin R.
• Format: Conference or Workshop Item
• Language: English; English
• Published: 2019
• Subjects: HG4501 Stocks, investment, speculation
• Online Access: http://irep.iium.edu.my/73881/1/MFA%202019%20KLCI%20FKLI%20%20Intraday%20%26%20Wavelet.pdf; http://irep.iium.edu.my/73881/12/MFA%202019%20Presenttaion%20schedule.pdf; http://irep.iium.edu.my/73881/; https://www.mfa.com.my/conference/mfac2019/
• Institution: Universiti Islam Antarabangsa Malaysia

In this paper, we utilize high-frequency 15-seconds intraday data from September 2018 through to August 2019 to investigate price leadership dynamics between futures and spot markets in Malaysia. We employ Maximal Overlap Discrete Wavelet Transform to evaluate interdependence between contemporaneous...