Information transmission across stock indices and stock index futures: International evidence using wavelet framework

被引：17

作者：

Aloui, Chaker ^{[1
]}

Hkiri, Besma ^{[2
]}

Lau, Marco Chi Keung ^{[3
]}

Yarovaya, Larisa ^{[4
]}

机构：

[1] King Saud Univ, Coll Business Adm, Riyadh, Saudi Arabia

[2] Univ Carthage, Higher Inst Accounting & Trade Bizerte, Tunis, Tunisia

[3] Northumbria Univ, Newcastle Business Sch, Newcastle Upon Tyne, Tyne & Wear, England

[4] Anglia Ruskin Univ, Lord Ashcroft Int Business Sch, Cambridge, England

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2018年 / 44卷

关键词：

Spot futures interlinkages; Wavelet methodology; Wavelet coherence; Emerging markets; LEAD-LAG RELATIONSHIP; VOLATILITY SPILLOVERS; PRICE VOLATILITY; CO-MOVEMENT; GARCH MODEL; SPOT-INDEX; MARKETS; OIL; DEPENDENCE; TRANSFORM;

D O I：

10.1016/j.ribaf.2017.07.112

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper provides international evidence on dynamic linkages between stock indices and stock index futures using daily data on 11 emerging and developed markets for the period from 3 October 2010 to 3 October 2014. In this study, we focus on the major wavelets tools: individual power spectrum, cross-wavelet power and wavelet coherency. The results show that the comovement between spot and futures indices reveals an erratic behaviour. The paper also identifies the difference in patterns of comovements for emerging and developed markets, which makes empirical results highly significant for practitioners and policy makers.

引用

页码：411 / 421

页数：11

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