The lead–lag relationship between the spot and futures markets in China

References

• Abhyankar, A.H., Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets. J. Futures Markets, 1995, 15, 457–488.
   Web of Science ®Google Scholar
• Bohl, M.T., Salm, C.A. and Wilfling, B., Do individual index futures investors destabilize the underlying spot market? J. Futures Markets, 2011, 31, 81–101.
   Web of Science ®Google Scholar
• Brooks, C., Rew, A.G. and Ritson, S., A trading strategy based on the lead--lag relationship between the spot index and futures contract for the FTSE 100. Int. J. Forecasting, 2001, 17, 31–44.
   Web of Science ®Google Scholar
• Cabrera, J., Wang, T. and Yang, J., Do futures lead price discovery in electronic foreign exchange markets? J. Futures Markets, 2009, 29, 137–156.
   Web of Science ®Google Scholar
• Cao, G., Han, Y., Cui, W. and Guo, Y., Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data. Physica A, 2014, 414, 308–320.
   Web of Science ®Google Scholar
• Chan, K., A further analysis of the lead--lag relationship between the cash market and stock index futures market. Rev. Financ. Stud., 1992, 5, 123–152.
   Web of Science ®Google Scholar
• Chen, H., Han, Q., Li, Y. and Wu, K., Does index futures trading reduce volatility in the Chinese stock market? J. Futures Markets, 2013, 33, 1167–1190.
   Web of Science ®Google Scholar
• Chen, Y.L. and Gau, Y.F., Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan Stock Exchange. J. Futures Markets, 2009, 29, 74–93.
   Web of Science ®Google Scholar
• Chung, H.L., Chan, W.S. and Batten, J.A., Threshold non-linear dynamics between Hang Seng stock index and futures returns. Eur. J. Finance, 2011, 17, 471–486.
   Web of Science ®Google Scholar
• Curme, C., Tumminello, M., Mantegna, R.N., Stanley, H.E. and Kenett, D.Y., Emergence of statistically validated financial intraday lead--lag relationships. Quant. Finance, 2015, 15, 1375–1386.
   Web of Science ®Google Scholar
• Debatin, J.N., A time dependent lead--lag study of house prices and monetary policy. Masters Thesis, ETH Zurich, 2011.
   Google Scholar
• Frino, A. and West, A., The lead--lag relationship between stock indices and stock index futures contracts: Further Australian evidence. Abacus, 1999, 35, 333–341.
   Google Scholar
• Guo, K., Zhou, W.X., Cheng, S.W. and Sornette, D., The US stock market leads the Federal funds rate and Treasury bond yields. PloS One, 2011, 6, e22794.
   PubMed Web of Science ®Google Scholar
• Hou, Y. and Li, S., Price discovery in Chinese stock index futures market: New evidence based on intraday data. Asia-Pac. Financ. Markets, 2013, 20, 49–70.
   Google Scholar
• Hou, Y. and Li, S., The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns. Int. Rev. Econ. Finance, 2014, 33, 319–337.
   Web of Science ®Google Scholar
• Huang, B.N., Yang, C.W. and Hwang, M.J., The dynamics of a nonlinear relationship between crude oil spot and futures prices: A multivariate threshold regression approach. Energy Econ., 2009, 31, 91–98.
   Web of Science ®Google Scholar
• Iihara, Y., Kato, K. and Tokunaga, T., Intraday return dynamics between the cash and the futures markets in Japan. J. Futures Markets, 1996, 16, 147–162.
   Web of Science ®Google Scholar
• Judge, A. and Reancharoen, T., An empirical examination of the lead--lag relationship between spot and futures markets: Evidence from Thailand. Pacific-Basin Finance J., 2014, 29, 335–358.
   Web of Science ®Google Scholar
• Kang, S.H., Cheong, C. and Yoon, S.M., Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market. Physica A, 2013, 392, 1795–1802.
   Web of Science ®Google Scholar
• Kang, J., Lee, C.J. and Lee, S., An empirical investigation of the lead--lag relations of returns and volatilities among the KOSPI 200 spot, futures and options markets and their explanations. J. Emerg. Market Finance, 2006, 5, 235–261.
   Google Scholar
• Kavussanos, M.G., Visvikis, I.D. and Alexakis, P.D., The lead--lag relationship between cash and stock index futures in a new market. Rev. Financ. Stud., 2008, 14, 1007–1025.
   Google Scholar
• Kawaller, I.G., Koch, P.D. and Koch, T.W., The temporal price relationship between S &P 500 futures and the S &P 500 index. J. Finance, 1987, 42, 1309–1329.
   Web of Science ®Google Scholar
• Li, M.Y.L., The dynamics of the relationship between spot and futures markets under high and low variance regimes. Appl. Stoch. Models Bus. Ind., 2009, 25, 696–718.
   Web of Science ®Google Scholar
• Lien, D., Tse, Y.K. and Zhang, X., Structural change and lead--lag relationship between the Nikkei spot index and futures price: A genetic programming approach. Quant. Finance, 2003, 3, 136–144.
   Web of Science ®Google Scholar
• Marwan, N., Thiel, M. and Nowaczyk, N.R., Cross recurrence plot based synchronization of time series. Nonlinear Process. Geophys., 2002, 9, 325–331.
   Web of Science ®Google Scholar
• Quiroga, R.Q., Kreuz, T. and Grassberger, P., Event synchronization: A simple and fast method to measure synchronicity and time delay patterns. Phys. Rev. E, 2002, 66, 041904.
   Web of Science ®Google Scholar
• Roope, M. and Zurbruegg, R., The intra-day price discovery process between the Singapore Exchange and Taiwan Futures Exchange. J. Futures Markets, 2002, 22, 219–240.
   Web of Science ®Google Scholar
• So, R.W. and Tse, Y., Price discovery in the Hang Seng index markets: Index, futures, and the tracker fund. J. Futures Markets, 2004, 24, 887–907.
   Web of Science ®Google Scholar
• Sornette, D. and Zhou, W.X., Non-parametric determination of real-time lag structure between two time series: The ‘optimal thermal causal path’ method. Quant. Finance, 2005, 5, 577–591.
   Web of Science ®Google Scholar
• Theissen, E., Price discovery in spot and futures markets: A reconsideration. Eur. J. Finance, 2012, 18, 969–987.
   Web of Science ®Google Scholar
• Tse, Y.K., Lead--lag relationship between spot index and futures price of the Nikkei stock average. J. Forecasting, 1995, 14, 553–563.
   Web of Science ®Google Scholar
• Xie, S. and Mo, T., Index futures trading and stock market volatility in China: A difference-in-difference approach. J. Futures Markets, 2014, 34, 282–297.
   Web of Science ®Google Scholar
• Yang, J., Yang, Z. and Zhou, Y., Intraday price discovery and volatility transmission in stock index stock index futures markets: Evidence from China. J. Futures Markets, 2012, 32, 99–121.
   Web of Science ®Google Scholar
• Zhong, M., Darrat, A.F. and Otero, R., Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico. J. Bank. Finance, 2004, 28, 3037–3054.
   Web of Science ®Google Scholar
• Zhou, W.X. and Sornette, D., Non-parametric determination of real-time lag structure between two time series: The ‘optimal thermal causal path’ method with applications to economic data. J. Macroecon., 2006, 28, 195–224.
   Web of Science ®Google Scholar