Intertemporal price discovery between stock index futures and spot markets: new evidence from high-frequency data

Intertemporal price discovery between stock index futures and spot markets: new evidence from high-frequency data

This article utilizes high-frequency 15-s intraday data from September 2017 through to August 2018 to investigate price leadership dynamics between Kuala Lumpur index futures (FKLI) and its underlying spot market: FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBM KLCI) in Bursa Malaysia. Harness...

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Bibliographic Details
Main Authors: Mohammad Sifat, Imtiaz, Mohamad, Azhar, Amin, Kevin Reinaldo
Format: Article
Language:English
English
English
Published: John Wiley and Sons Ltd 2020
Subjects:
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/84732/1/84732_Intertemporal%20price%20discovery%20between%20stock%20index%20futures.pdf
http://irep.iium.edu.my/84732/2/84732_Intertemporal%20price%20discovery%20between%20stock%20index%20futures_WoS.pdf
http://irep.iium.edu.my/84732/13/84732_Intertemporal%20price%20discovery%20between%20stock%20index%20futures_Scopus.pdf
http://irep.iium.edu.my/84732/
https://www.scopus.com/inward/record.uri?eid=2-s2.0-85088567878&doi=10.1002%2fijfe.1827&partnerID=40&md5=09565dd674ad0ed06cb7d7b58d74b598
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Institution: Universiti Islam Antarabangsa Malaysia
Language: English
English
English

Internet

http://irep.iium.edu.my/84732/1/84732_Intertemporal%20price%20discovery%20between%20stock%20index%20futures.pdf
http://irep.iium.edu.my/84732/2/84732_Intertemporal%20price%20discovery%20between%20stock%20index%20futures_WoS.pdf
http://irep.iium.edu.my/84732/13/84732_Intertemporal%20price%20discovery%20between%20stock%20index%20futures_Scopus.pdf
http://irep.iium.edu.my/84732/
https://www.scopus.com/inward/record.uri?eid=2-s2.0-85088567878&doi=10.1002%2fijfe.1827&partnerID=40&md5=09565dd674ad0ed06cb7d7b58d74b598

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