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A study on the the lead-lag relationship between the CSI 300 futures market and spot market
Yim, Byung-Jin; Liu, Yi-Ling - In: Journal of international trade & commerce 15 (2019) 4, pp. 65-80
Persistent link: https://www.econbiz.de/10012546624
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Cross-listed futures index and price discovery
Jawed, Mohammad Shameem; Tapar, Archit Vinod; Dhaigude, Amol - In: The empirical economics letters : a monthly … 19 (2020) 6, pp. 509-519
Persistent link: https://www.econbiz.de/10012596570
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Currency-adjusted stock index causality and cointegration : evidence from intraday data
Jalbert, Terrance - In: The international journal of business and finance … 9 (2015) 5, pp. 83-91
Persistent link: https://www.econbiz.de/10011383380
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Relations intrajournalières entre l'indice CAC 40 et les options sur indice : quel est le marché préféré des investisseurs informés?
Capelle-Blancard, Gunther; Vandelanoite, Séverine - In: Annales d'économie et de statistique (2002), pp. 143-177
Persistent link: https://www.econbiz.de/10001723070
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A study of the cointegrated relationship between Australian All Ord. index and share index futures using the Granger causality method
Parasuraman, Aloysius; Evans, John P. - 2001
Persistent link: https://www.econbiz.de/10001585344
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Volatility spillover between conventional stock index and participation index : the Turkish case
Kahyaoglu, Sezer Bozkuş; Akkus, Hilmi Tunahan - In: Contemporary issues in business economics and finance, (pp. 1-17). 2020
Persistent link: https://www.econbiz.de/10012312806
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Causal relationship between FT-SE 100 stock index futures volatility and FT-SE 100 index options implied volatility
Kalyvas, Lampros; Dritsakis, Nikolaos - In: Journal of financial management and analysis : … 30 (2017) 2, pp. 58-64
Persistent link: https://www.econbiz.de/10011991716
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The rolling causal structure between the Chinese stock index and futures
Xu, Xiaojie - In: Financial markets and portfolio management 31 (2017) 4, pp. 491-509
Persistent link: https://www.econbiz.de/10011944629
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The lead-lag relationship between volatility index futures and spot in the Korean Stock Market
Qin, Rong-Yuan; Heo, Ji-Hun - In: Journal of international trade & commerce 13 (2017) 4, pp. 139-159
Persistent link: https://www.econbiz.de/10011799640
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High-Frequency Causality in the VIX Index and Its Derivatives : Empirical Evidence
Farokhnia, Kia; Osterrieder, Joerg - 2023
In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major volatility-related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the role of linear causality in the VIX index and its...
Persistent link: https://www.econbiz.de/10014361986