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• W2018491645 abstract "In this article, we investigate possible lead and lag relationship in returns and volatilities between cash and futures markets in Korea. Utilizing intraday data from the newly established futures market in Korea, we find that the futures market leads the cash market by as long as 30 minutes. This result is consistent with previous studies for the U.S. and other countries’ futures markets. With regard to volatility interaction between spot and futures markets, we find that, unlike the above results for returns, a bidirectional causality is more prevalent between cash and futures markets, and this relationship is entirely sample dependent. We also find that the trading volume has significant explanatory power for volatility changes in both spot and futures markets. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 217–232, 1999" @default.
• W2018491645 created "2016-06-24" @default.
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• W2018491645 date "1999-04-01" @default.
• W2018491645 modified "2023-10-13" @default.
• W2018491645 title "A further investigation of the lead-lag relationship between the spot market and stock index futures: Early evidence from Korea" @default.
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• W2018491645 doi "https://doi.org/10.1002/(sici)1096-9934(199904)19:2<217::aid-fut5>3.0.co;2-8" @default.
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