Ultra-high-frequency lead–lag relationship and information arrival

References

• Alsayed, H. and McGroarty, F., Ultra-high-frequency algorithmic arbitrage across international index futures. J. Forecast., 2014, 33, 391–408.10.1002/for.2298
   Web of Science ®Google Scholar
• Aragó, V. and Nieto, L., Heteroskedasticity in the returns of the main world stock exchange indices: Volume versus GARCH effects. J. Int. Financ. Markets Inst. Money, 2005, 15, 271–284.10.1016/j.intfin.2004.06.001
   Google Scholar
• Bessembinder, H. and Seguin, P.J., Price volatility, trading volume, and market depth: Evidence from futures markets. J. Financ. Quant. Anal., 1993, 28, 21–39.10.2307/2331149
   Web of Science ®Google Scholar
• Bhattacharya, M., Price changes of related securities: The case of call options and stocks. J. Financ. Quant. Anal., 1987, 22, 1–15.10.2307/2330866
   Web of Science ®Google Scholar
• Brooks, C., Garrett, I. and Hinich, M.J., An alternative approach to investigating lead–lag relationships between stock and stock index futures markets. Appl. Financ. Econ., 1999, 9, 605–613.10.1080/096031099332050
   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. Forecast., 2001, 17, 31–44.10.1016/S0169-2070(00)00062-5
   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, 123–152.10.1093/rfs/5.1.123
   Web of Science ®Google Scholar
• Chan, K., Chung, Y.P. and Johnson, H., Why option prices lag stock prices: A trading-based explanation. J. Finance, 1993, 48, 1957–1967.10.1111/j.1540-6261.1993.tb05136.x
   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, 74–93.10.1002/fut.v29:1
   Web of Science ®Google Scholar
• Chiang, R. and Fong, W.-M., Relative informational efficiency of cash, futures, and options markets: The case of an emerging market. J. Bank Finance, 2001, 25, 355–375.10.1016/S0378-4266(99)00127-2
   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, 471–486.10.1080/1351847X.2010.481469
   Web of Science ®Google Scholar
• Curme, C., Stanley, H.E., Kenett, D.Y., Tumminello, M. and Mantegna, R.N., Emergence of statistically validated financial intraday lead–lag relationships. Quant. Finance, 2015, 15, 1375–1386.10.1080/14697688.2015.1032545
   Web of Science ®Google Scholar
• Epps, T.W., Comovements in stock prices in the very short run. J. Am. Stat. Assoc., 1979, 74, 291–298.
   Web of Science ®Google Scholar
• Ergün, A.T., NYSE Rule 80A restrictions on index arbitrage and market linkage. Appl. Financ. Econ., 2009, 19, 1675–1685.10.1080/09603100802599613
   Google Scholar
• Fleming, J., Ostdiek, B. and Whaley, R.E., Trading costs and the relative rates of price discovery in stock, futures, and option markets. J. Futures Markets, 1996, 16, 353–387.10.1002/(ISSN)1096-9934
   Web of Science ®Google Scholar
• Frank, H. and Kenneth, W.S., Trade size and informed trading: Which trades are ‘big’? J. Financ. Res., 2005, 28, 133–163.
   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, 333–341.10.1111/abac.1999.35.issue-3
   Google Scholar
• Frino, A., Walter, T. and West, A., The lead–lag relationship between equities and stock index futures markets around information releases. J. Futures Markets, 2000, 20, 467–487.10.1002/(ISSN)1096-9934
   Web of Science ®Google Scholar
• Goldstein, M.A., Kumar, P. and Graves, F.C., Computerized and high-frequency trading. Financ. Rev., 2014, 49, 177–202.10.1111/fire.2014.49.issue-2
   Google Scholar
• Gregoriou, A., Ioannidis, C. and Skerratt, L., Information asymmetry and the bid-ask spread: Evidence from the UK. J. Bus. Finan. Acc., 2005, 32, 1801–1826.10.1111/jbfa.2005.32.issue-9-10
   Web of Science ®Google Scholar
• Grünbichler, A., Longstaff, F.A. and Schwartz, E.S., Regular article: Electronic screen trading and the transmission of information: An empirical examination. J. Financ. Intermed., 1994, 3, 166–187.10.1006/jfin.1994.1002
   Google Scholar
• Hanousek, J. and Podpiera, R., Informed trading and the bid–ask spread: Evidence from an emerging market. J. Comp. Econ., 2003, 31, 275–296.10.1016/S0147-5967(03)00044-1
   Web of Science ®Google Scholar
• Hasbrouck, J. and Saar, G., Low-latency trading. J. Financ. Markets, 2013, 16, 646–679.10.1016/j.finmar.2013.05.003
   Web of Science ®Google Scholar
• Hayashi, T. and Yoshida, N., On covariance estimation of non-synchronously observed diffusion processes. Bernoulli, 2005, 11, 359–379.10.3150/bj/1116340299
   Web of Science ®Google Scholar
• Hoffmann, M., Rosenbaum, M. and Yoshida, N., Estimation of the lead–lag parameter from non-synchronous data. Bernoulli, 2013, 19, 426–461.10.3150/11-BEJ407
   Web of Science ®Google Scholar
• Huth, N. and Abergel, F., High frequency lead/lag relationships – Empirical facts. J. Emp. Financ., 2014, 26, 41–58.10.1016/j.jempfin.2014.01.003
   Web of Science ®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, 1309–1329.10.1111/j.1540-6261.1987.tb04368.x
   Web of Science ®Google Scholar
• Kearney, F., Cummins, M. and Murphy, F., Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias. J. Financ. Markets, 2014, 19, 86–109.10.1016/j.finmar.2013.08.003
   Web of Science ®Google Scholar
• Lamoureux, C.G. and Lastrapes, W.D., Heteroskedasticity in stock return data: Volume versus GARCH effects. J. Finance, 1990, 45, 221–229.10.1111/j.1540-6261.1990.tb05088.x
   Web of Science ®Google Scholar
• Lien, D., Tse, Y.K. and Xibin, Z., Structural change and lead–lag relationship between the Nikkei spot index and futures price: A genetic programming approach. Quant. Finance, 2003, 3, 136–144.10.1088/1469-7688/3/2/307
   Web of Science ®Google Scholar
• Lo, A.W. and Mackinlay, A.C., An econometric analysis of nonsynchronous trading. J. Econometrics, 1990, 45, 181–211.10.1016/0304-4076(90)90098-E
   Web of Science ®Google Scholar
• Madhavan, A. and Sofianos, G., An empirical analysis of NYSE specialist trading. J. Financ. Econ., 1998, 48, 189–210.10.1016/S0304-405X(98)00008-7
   Web of Science ®Google Scholar
• Manaster, S. and Rendleman, J.R.J., Option prices as predictors of equilibrium stock prices. J. Finance, 1982, 37, 1043–1057.10.1111/j.1540-6261.1982.tb03597.x
   Web of Science ®Google Scholar
• Marshall, B., Nguyen, N.H. and Visaltanachoti, N., ETF arbitrage: Intraday evidence. J. Banking Finance, 2013, 37, 3486–3498.10.1016/j.jbankfin.2013.05.014
   Web of Science ®Google Scholar
• Martikainen, T. and Perttunen, J., On the dynamics of stock index futures and individual stock returns. J. Bus. Financ. Account., 1995, 22, 87–100.10.1111/jbfa.1995.22.issue-1
   Google Scholar
• Najand, M. and Min, J.H., A further investigation of the lead–lag relationship between the spot market and stock index futures: Early evidence from Korea. J. Futures Markets, 1999, 19, 217–232.
   Web of Science ®Google Scholar
• Nam, S.O., Oh, S., Kim, H.K. and Kim, B.C., An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets. Int. Rev. Financ. Anal., 2006, 15, 398–414.10.1016/j.irfa.2006.02.003
   Google Scholar
• Nam, S.O., Oh, S. and Kim, H.K., The time difference effect of a measurement unit in the lead–lag relationship analysis of Korean financial market. Int. Rev. Financ. Anal., 2008, 17, 259–273.10.1016/j.irfa.2006.09.004
   Google Scholar
• Panton, D., Chicago board call options as predictors of common stock price changes. J. Econometrics, 1976, 4, 101–113.10.1016/0304-4076(76)90008-7
   Google Scholar
• Pizzi, M.A., Economopoulos, A.J. and O’Neill, H. M., An examination of the relationship between stock index cash and futures markets: A cointegration approach. J. Futures Markets, 1998, 18, 297–305.10.1002/(ISSN)1096-9934
   Web of Science ®Google Scholar
• Ruan, J. and Ma, T., Ex-dividend day price behavior of exchange-traded funds. J. Financ. Res., 2012, 35, 29–53.10.1111/jfir.2012.35.issue-1
   Google Scholar
• Ryu, D., The information content of trades: An analysis of KOSPI 200 index derivatives. J. Futures Markets, 2015, 35, 201–221.10.1002/fut.v35.3
   Web of Science ®Google Scholar
• Sharma, J.L., Mougoue, M. and Kamath, R., Heteroscedasticity in stock market indicator return data: Volume versus GARCH effects. Appl. Financ. Econ., 1996, 6, 337–342.10.1080/096031096334132
   Google Scholar
• Shin, S. and Soydemir, G., Exchange-traded funds, persistence in tracking errors and information dissemination. J. Multinat. Financ. Manage, 2010, 20, 214–234.10.1016/j.mulfin.2010.07.005
   Google Scholar
• Shyy, G. and Vijayraghavan, V., A further investigation of the lead–lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France. J. Futures Markets, 1996, 16, 405–420.10.1002/(ISSN)1096-9934
   Web of Science ®Google Scholar
• Stephan, J.A. and Whaley, R.E., Intraday price change and trading volume relations in the stock and stock option markets. J. Finance, 1990, 45, 191–220.10.1111/j.1540-6261.1990.tb05087.x
   Web of Science ®Google Scholar
• Stoll, H.R. and Whaley, R.E., The dynamics of stock index and stock index futures returns. J. Financ. Quant. Anal., 1990, 25, 441–468.10.2307/2331010
   Web of Science ®Google Scholar
• Zhang, L., Estimating covariation: Epps effect, microstructure noise. J. Econometrics, 2011, 160, 33–47.10.1016/j.jeconom.2010.03.012
   Web of Science ®Google Scholar