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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...
| Autores principales: | , , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| Materias: | |
| 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 |