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- W93730852 abstract "This thesis investigate the lead-lag relationship between the All Ordinaries Share Price Index and the SPI Future Contracts. The results show that a lead-lag relationship exist within the Australian share price index and SPI futures contract market. The Serial Correlation and Cross-correlation test suggest that futures return tend to lead the index return for most of the lags analysed. However, the results from the Distributed-lag model suggest that this lead-lag relationships is not unidirectional. The Error Correction Model provides evidence that an equilibrium relationship exists between the price of the share price index and the SPI futures Contracts. Generally, the results appears to be consistent with the empirical studies conducted in the US." @default.
- W93730852 created "2016-06-24" @default.
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- W93730852 date "1996-01-01" @default.
- W93730852 modified "2023-09-27" @default.
- W93730852 title "An investigation of the lead-lag relationship between the All Ordinaries Share Price Index and the SPI Futures Contract traded on the Sydney Futures Exchange" @default.
- W93730852 hasPublicationYear "1996" @default.
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