Study on the Lead and Lag Relationship Between the Kuala Lumpur Stock Exchange Composite Index Futures Contract and its Underlying Kuala Lumpur Stock Exchange Composite Index

• Main Author: Abdullah, Mahdhir
• Format: Thesis
• Language: English; English
• Published: 2001
• Subjects: Stock exchanges - Malaysia.
• Online Access: http://psasir.upm.edu.my/id/eprint/7942/1/GSM_2001_12_.pdf; http://psasir.upm.edu.my/id/eprint/7942/
• Institution: Universiti Putra Malaysia

The birth of the Kuala Lumpur Stock Exchange Composite Index futures contract (FKLI) in December 1 995 creates a lot of opportunities for research in the area of financial derivatives. This paper looks into the lead and lag relationship between the FKLI returns and the Kuala Lumpur Stock Exchange...