A Multi-market Comparison of the Intraday Lead–Lag Relations Among Stock Index-Based Spot, Futures and Options

Using 1-min data, we explore the dynamic variation of the intraday lead–lag relations between stock indices and their derivatives through a comprehensive study with broader coverage of research objectives and methodologies. This paper provides explicit evidence that the futures and options exhibit p...

Descripción completa

Detalles Bibliográficos
Autores principales: Ren, Fei, Cai, Mei-Ling, Li, Sai-Ping, Xiong, Xiong, Chen, Zhang-HangJian
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9107071/
https://www.ncbi.nlm.nih.gov/pubmed/35601934
http://dx.doi.org/10.1007/s10614-022-10268-0

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9107071/
https://www.ncbi.nlm.nih.gov/pubmed/35601934
http://dx.doi.org/10.1007/s10614-022-10268-0

Ejemplares similares