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The European Journal of Finance Volume 17, 2011 - Issue 7
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Original Articles

Threshold non-linear dynamics between Hang Seng stock index and futures returns

Hon-Lun Chung School of Accounting and Finance, The Hong Kong Polytechnic University, Kowloon, Hong Kong
,
Wai-Sum Chan Department of Finance, The Chinese University of Hong Kong, New Territories, Hong Kong
&
Jonathan A. Batten Department of Finance, Hong Kong University of Science & Technology, Clear Water Bay, New Territories, Hong KongCorrespondence[email protected]
Pages 471-486 | Received 10 Mar 2009, Published online: 28 Jun 2010

Citations (12)

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Read on this site (3)

Ru Xiao, Chaoqun Ma & Xianhua Mi. (2023) The time-varying lead-lag relationship between index futures and the cash index and its factors. Economic Research-Ekonomska Istraživanja 36:1, pages 1549-1569.
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Thong Minh Dao, Frank McGroarty & Andrew Urquhart. (2018) Ultra-high-frequency lead–lag relationship and information arrival. Quantitative Finance 18:5, pages 725-735.
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Donghua Wang, Jingqing Tu, Xiaohui Chang & Saiping Li. (2017) The lead–lag relationship between the spot and futures markets in China. Quantitative Finance 17:9, pages 1447-1456.
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Articles from other publishers (9)

Fei Ren, Mei-Ling Cai, Sai-Ping Li, Xiong Xiong & Zhang-HangJian Chen. (2022) A Multi-market Comparison of the Intraday Lead–Lag Relations Among Stock Index-Based Spot, Futures and Options. Computational Economics 62:1, pages 1-28.
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Zhang-HangJian Chen, Fei Ren, Ming-Yuan Yang, Feng-Zhi Lu & Sai-Ping Li. (2023) Dynamic lead–lag relationship between Chinese carbon emission trading and stock markets under exogenous shocks. International Review of Economics & Finance.
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Liwei Jin, Xianghui Yuan, Jun Long, Xiang Li & Feng Lian. (2022) Price discovery in the CSI 300 Index derivatives markets. Journal of Futures Markets 42:7, pages 1352-1368.
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Ying-Hui Shao, Yan-Hong Yang, Hao-Lin Shao & H. Eugene Stanley. (2019) Time-varying lead–lag structure between the crude oil spot and futures markets. Physica A: Statistical Mechanics and its Applications 523, pages 723-733.
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Chen-Chen Gong, Shen-Dan Ji, Li-Ling Su, Sai-Ping Li & Fei Ren. (2016) The lead–lag relationship between stock index and stock index futures: A thermal optimal path method. Physica A: Statistical Mechanics and its Applications 444, pages 63-72.
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Johnny Siu-Hang Li, Andrew C.Y. Ng & Wai-Sum Chan. (2015) Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression. International Review of Economics & Finance 40, pages 217-230.
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Wai-Sum Chan, Siu Hung Cheung, Wai Kit Chow & Li-Xin Zhang. (2015) A Robust Test for Threshold-Type Nonlinearity in Multivariate Time Series Analysis. Journal of Forecasting 34:6, pages 441-454.
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Alessandro Innocenti, Pier Malpenga, Lorenzo Menconi & Alessandro Santoni. (2011) Intraday Anomalies in the Relationship betweenU.S. Futures and European Stock Indexes. The Journal of Index Investing 1:4, pages 40-52.
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Zhang-HangJian Chen, fei ren, Ming-Yuan Yang, Feng-Zhi Lu & Sai-Ping Li. (2022) Dynamic Lead-Lag Relationship Between Chinese Carbon Emission Trading and Stock Markets Under Exogenous Shocks. SSRN Electronic Journal.
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