A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: the case of France

Article Abstract:

The lead-lag relationship between futures and cash markets is analyzed using data of French stock transaction prices and bid/ask quotes from the Matif and the Paris Bourse.The lead-lag relationship of the cash market and the stock index futures market has been well researched using transaction data. Price movements in the futures markets have been found to consistently lead the stock index movements. Lower transaction costs and lessened restrictions in short selling in the futures market may account for the lead-lag relationship between the futures and cash index markets.

France, Futures market, Futures markets, Securities

---

The components of bid-ask spread and their determinants: TAIFEX versus SGX-DT

Article Abstract:

The intraday components of bid-ask spread in Taiwan stock index futures traded on Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGT-DT) are discussed. Variables determining the components of the spread are examined. Various models with regard to this are also discussed.

Taiwan, Commercial Banks, Marketing procedures, Singapore, Banking industry, Marketing, Company marketing practices, Singapore Exchange Derivatives Trading Ltd., Taiwan Futures Exchange

---

Price discovery in the Hang Seng Index Markets: index, futures, and the tracker fund

Article Abstract:

The price discovery among the Hang Seng Index markets is examined with help of Hasbrouk and Gonzalo and granger common-factor models and the multivariate generalized autoregressive conditional hetroskedasticity (M-GARCH) model.

Services information, Hong Kong, Security brokers and dealers, Securities & Commodities Services, Securities, Commodity Contracts, and Other Financial Investments and Related Activities, Services, Securities industry, Hong Kong Futures Exchange Ltd.

Similar abstracts:

• Abstracts: An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets
• Abstracts: The organization of exporting activities: relationships between internal and external arrangements. Public sector promotion of exports: a needs-based approach
• Abstracts: Fractional dynamics in international commodity prices. Contemporary and long-run correlations: a covariance component model and studies on the S&P 500 cash and futures market
• Abstracts: How important are job attitudes? Meta-analytic comparisons of integrative behavioral outcomes and time sequences
• Abstracts: A transaction-efficiency analysis of an Internet retailing supply chain in the music CD industry. Physical distribution service quality in internet retailing: service pricing, transaction attributes, and firm attributes

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.