There is a considerable literature relating to a lead-lag relationship between the stock index (spot) and stock index futures markets in developed countries compared to emerging countries. The analysis of this relationship in an emerging market based on a different investment horizon is...

Several factors are responsible for difficulties in describing the behaviour of commodity prices. Firstly, there are numerous different categories of commodities. Secondly, some categories overlap with other categories, while others indirectly compete in the market. Thirdly, although essentially...

This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period 2000-2002. Focusing on the intertemporal comovement, we examine weekly and daily lead-lag relationships in a vector autoregressive model and the adjustment between markets caused...

The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore, a mathematical approach to be able to find interrelations between the price development of two different financial instruments is developed in this paper. Computing the...