Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets: Evidence from Malaysia
This paper investigates the lead-lag relationship between the stock index futures (known as FKLI) and its underlying index, the Kuala Lumpur Composite Index (KLCI) in the emerging Malaysian market. Using 15-second interval data, cross-correlation, and the partial adjustment model, we find a bi-direc...
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| Format: | Article |
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2018
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| Online Access: | https://eprints.ums.edu.my/id/eprint/25218/1/Intraday%20Lead-Lag%20Relationship%20between%20Index%20Futures%20and%20Stock%20Index%20Markets%20Evidence%20from%20Malaysia.pdf https://eprints.ums.edu.my/id/eprint/25218/7/Intraday%20Lead-Lag%20Relationship%20between%20Index%20Futures%20and%20Stock%20Index%20Markets%20Evidence%20from%20Malaysia1.pdf https://eprints.ums.edu.my/id/eprint/25218/ https://doi.org/10.17265/1548-6583/2018.10.003 |
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| author | Jude W. Taunson Mohd. Fahmi Bin Ghazali Minah Japang Abd. Kamal Bin Char |
| author_facet | Jude W. Taunson Mohd. Fahmi Bin Ghazali Minah Japang Abd. Kamal Bin Char |
| author_sort | Jude W. Taunson |
| building | UMS Library |
| collection | Institutional Repository |
| content_provider | Universiti Malaysia Sabah |
| content_source | UMS Institutional Repository |
| continent | Asia |
| country | Malaysia |
| description | This paper investigates the lead-lag relationship between the stock index futures (known as FKLI) and its underlying index, the Kuala Lumpur Composite Index (KLCI) in the emerging Malaysian market. Using 15-second interval data, cross-correlation, and the partial adjustment model, we find a bi-directional asymmetric lead-lag relationship and that the KLCI’s lead over FKLI is much stronger. The evidence also suggests that the KLCI returns over-react to information, more so once thin trading effects are considered. Overall, the evidences suggest that traders prefer to exploit stock specific information in the underlying market despite the advantages of trading the index futures. |
| format | Article |
| id | my.ums.eprints-25218 |
| institution | Universiti Malaysia Sabah |
| language | en en |
| publishDate | 2018 |
| record_format | eprints |
| spelling | my.ums.eprints-252182020-06-18T16:00:48Z https://eprints.ums.edu.my/id/eprint/25218/ Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets: Evidence from Malaysia Jude W. Taunson Mohd. Fahmi Bin Ghazali Minah Japang Abd. Kamal Bin Char HG Finance This paper investigates the lead-lag relationship between the stock index futures (known as FKLI) and its underlying index, the Kuala Lumpur Composite Index (KLCI) in the emerging Malaysian market. Using 15-second interval data, cross-correlation, and the partial adjustment model, we find a bi-directional asymmetric lead-lag relationship and that the KLCI’s lead over FKLI is much stronger. The evidence also suggests that the KLCI returns over-react to information, more so once thin trading effects are considered. Overall, the evidences suggest that traders prefer to exploit stock specific information in the underlying market despite the advantages of trading the index futures. 2018 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/25218/1/Intraday%20Lead-Lag%20Relationship%20between%20Index%20Futures%20and%20Stock%20Index%20Markets%20Evidence%20from%20Malaysia.pdf text en https://eprints.ums.edu.my/id/eprint/25218/7/Intraday%20Lead-Lag%20Relationship%20between%20Index%20Futures%20and%20Stock%20Index%20Markets%20Evidence%20from%20Malaysia1.pdf Jude W. Taunson and Mohd. Fahmi Bin Ghazali and Minah Japang and Abd. Kamal Bin Char (2018) Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets: Evidence from Malaysia. Journal of Modern Accounting and Auditing, 14 (10). pp. 561-569. https://doi.org/10.17265/1548-6583/2018.10.003 |
| spellingShingle | HG Finance Jude W. Taunson Mohd. Fahmi Bin Ghazali Minah Japang Abd. Kamal Bin Char Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets: Evidence from Malaysia |
| title | Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets: Evidence from Malaysia |
| title_full | Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets: Evidence from Malaysia |
| title_fullStr | Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets: Evidence from Malaysia |
| title_full_unstemmed | Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets: Evidence from Malaysia |
| title_short | Intraday Lead-Lag Relationship between Index Futures and Stock Index Markets: Evidence from Malaysia |
| title_sort | intraday lead-lag relationship between index futures and stock index markets: evidence from malaysia |
| topic | HG Finance |
| url | https://eprints.ums.edu.my/id/eprint/25218/1/Intraday%20Lead-Lag%20Relationship%20between%20Index%20Futures%20and%20Stock%20Index%20Markets%20Evidence%20from%20Malaysia.pdf https://eprints.ums.edu.my/id/eprint/25218/7/Intraday%20Lead-Lag%20Relationship%20between%20Index%20Futures%20and%20Stock%20Index%20Markets%20Evidence%20from%20Malaysia1.pdf https://eprints.ums.edu.my/id/eprint/25218/ https://doi.org/10.17265/1548-6583/2018.10.003 |
| url_provider | http://eprints.ums.edu.my/ |