The Lead–lag relationship between stock indices and stock index futures contracts

further Australian evidence

Alex Frino, Andrew West

Research output: Contribution to journalArticle

15 Citations (Scopus)

Abstract

This article examines the lead-lag relationship in returns on stock index futures and the underlying stock index for the Australian market between 1992 and 1997. On average across the sample period, futures returns lead index returns by twenty to twenty-five minutes and there is some evidence of feedback from the equities market to the futures market. Analysis conducted on a year-by-year basis suggests that the extent to which the futures market leads the equities market has decreased over time and the relationship between the two markets has generally strengthened. This is consistent with an increase in the level of integration between the markets. The results suggest that prior research that compares lead-lag relationships across international markets and time periods in drawing inferences on the effects of market structure needs to be interpreted with caution.
Original languageEnglish
Pages (from-to)333-341
Number of pages9
JournalAbacus
Volume35
Issue number3
Publication statusPublished - 1999
Externally publishedYes

Keywords

  • lagging
  • leading
  • integration
  • market
  • pricing

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