Lead-Lag Relationship between Spot and Futures Price of the Nikkei Stock Average
A study examines the lead-lag relationship between the spot index and futures price of the Nikkei Stock Average. Using daily data in the post-crash period, the interaction between the spot and futures series through the error correction model is investigated. Two versions of error correction models...
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
1995
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/262 |
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| 機構: | Singapore Management University |
| 語言: | English |