Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets:Evidence from Malaysia

作     者：Jude W. Taunson Mohd. Fahmi Bin Ghazali Minah Japang Abd. Kamal Bin Char 

作者机构：Universiti Malaysia SabahSabahMalaysia 

出 版 物：《Journal of Modern Accounting and Auditing》 (现代会计与审计（英文版）)

年 卷 期：2018年第14卷第10期

页      面：561-569页

学科分类：02[经济学] 

主　　题：lead-lag relations index futures emerging market 

摘      要：This paper investigates the lead-lag relationship between the stock index futures(known as FKLI)and its underlying index,the Kuala Lumpur Composite Index(KLCI)in the emerging Malaysian *** 15-second interval data,cross-correlation,and the partial adjustment model,we find a bi-directional asymmetric lead-lag relationship and that the KLCI’s lead over FKLI is much *** evidence also suggests that the KLCI returns over-react to information,more so once thin trading effects are ***,the evidences suggest that traders prefer to exploit stock specific information in the underlying market despite the advantages of trading the index futures.