References
- Abhyankar , A. 1998 . Linear and nonlinear Granger causality: evidence from the UK stock index futures market . Journal of Futures Markets , 18 : 519 – 40 .
- Brooks , C. , Rew , A. G. and Ritson , S. 2001 . A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100 . International Journal of Forecasting , 17 : 31 – 44 .
- Chan , K. 1992 . A further analysis of the lead–lag relationship between the cash market and stock index futures market . Review of Financial Studies , 5 : 123 – 52 .
- Chan , K. , Chan , K. C. and Karloyi , G. A. 1991 . Intraday volatility in the stock index and stock index futures market . Review of Financial Studies , 4 : 657 – 84 .
- Chatrath , A. , Christie-David , R. , Dhanda , K. K. and Koch , T. W. 2002 . Index futures leadership, basis behavior, and trader selectivity . Journal of Futures Markets , 22 : 649 – 77 .
- Cheung , Y. W. and Ng , L. K. 1990 . The dynamics of S&P 500 index and S&P 500 futures intraday price volatilities . Review of Futures Markets , 9 : 458 – 86 .
- Covrig , V. , Ding , D. K. and Low , B. S. 2004 . The contribution of a satellite market to price discovery: evidence from the Singapore exchange . Journal of Futures Markets , 24 : 981 – 1004 .
- Engle , R. 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1008 .
- Engle , R. F. and Granger , G. W. 1987 . Cointegration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 76 .
- Frino , A. , Walter , T. and West , A. 2000 . The lead-lag relationship between equities and stock index futures markets around information releases . Journal of Futures Markets , 20 : 467 – 87 .
- Ghosh , A. 1993 . Cointegration and error correction models: inter-temporal causality between index and futures price . Journal of Futures Markets , 13 : 193 – 8 .
- Iihara , Y. , Kato , K. and Tokunaga , T. 1996 . Intraday return dynamics between the cash and the futures markets in Japan . Journal of Futures Markets , 16 : 147 – 62 .
- Johansen , S. and Juselius , K. 1990 . Maximum likelihood estimation and inference on co-integration with application to the demand for money . Oxford Bulletin of Economics and Statistics , 52 : 169 – 209 .
- Kawaller , I. G. , Koch , P. D. and Koch , T. W. 1987 . The temporal price relationship between S&P 500 futures and the S&P 500 Index . Journal of Finance , 42 : 1309 – 29 .
- Koutmos , G. and Tucker , M. 1996 . Temporal relationships and dynamic interactions between spot and futures stock markets . Journal of Futures Markets , 16 : 55 – 69 .
- Lafuente , J. A. 2002 . Intraday return and volatility relationships between the Ibex 35 spot and futures markets . Spanish Economic Review , 4 : 201 – 20 .
- Lee , J. H. and Linn , S. C. 1994 . Intraday and overnight volatility of stock index and stock index futures returns . Review of Futures Markets , 13 : 1 – 38 .
- Min , J. H. and Najand , M. 1999 . A further investigation of the lead-lag relationship between the spot market and stock index futures: early evidence from Korea . Journal of Futures Markets , 19 : 217 – 32 .
- O'Hara , M. 1995 . Market Microstructure Theory , Cambridge, MA : Blackwell Publishers Inc .
- Pizzi , M. A. , Economopoulos , A. J. and O'Neill , H. M. 1998 . An examination of the relationship between stock index cash and futures markets: a co-integration approach . Journal of Futures Markets , 18 : 297 – 305 .
- Roope , M. and Zurbruegg , R. 2002 . The intraday price discovery process between the Singapore exchange and Taiwan Futures Exchange . Journal of Futures Markets , 22 : 219 – 40 .
- Schreiber , P. S. and Schwartz , R. A. 1986 . Price discovery in securities markets . Journal of Portfolio Management , 12 : 43 – 8 .
- So , W. R. and Tse , Y. 2004 . Price Discovery in the Hang Seng index markets: index, futures and the tracker fund . Journal of Futures Markets , 24 : 887 – 907 .
- Stoll , H. R. and Whaley , R. E. 1990 . The dynamics of stock index and stock index futures returns . Journal of Financial and Quantitative Analysis , 25 : 441 – 68 .
- Tse , Y. K. 1995 . Lead-Lag relationship between spot index and futures price of Nikkei stock average . Journal of Forecasting , 14 : 553 – 63 .
- Tse , Y. K. 1999 . Price discovery and volatility spillovers in the DJIA index and futures markets . Journal of Futures Markets , 19 : 911 – 30 .
- Wahab , M. and Lashgari , M. 1993 . Price dynamics and error correction in stock index and stock index futures markets: a co-integration approach . Journal of Futures Market , 13 : 711 – 42 .
- Zhong , M. , Darratt , A. F. and Otero , R. 2004 . Price discovery and volatility spillovers in index futures markets: some evidence from Mexico . Journal of Banking and Finance , 28 : 3037 – 54 .