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

• 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
• Institution: Universiti Islam Antarabangsa Malaysia

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...