Kavussanos, Manolis G.; Visvikis, Ilias D.; Alexakis, … - In: European Financial Management 14 (2008) 5, pp. 1007-1025
"This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of the FTSE/ATHEX-20 and FTSE/ATHEX Mid-40 stock index futures and the underlying cash indices in the relatively new futures market of Greece. Empirical results show that there is a...
