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DO STOCK INDEX FUTURES PRICES LEAD THE STOCK INDEX?

发布时间: 2010-11-02 点击下载研究文档

 

Summary

This note examines the lead-lag relationship in returns on Share Price Index futures and the All Ordinaries Index between 1992 and 1996. Evidence of a bias in returns on the All Ordinaries Index due to infrequent trading of component stocks is presented. When the effects of infrequent trading are purged from Index returns, there is significant evidence that the SPI leads the Index by up to 15 minutes. However, there is also evidence of feedback, with the index occassionally leading the futures market by up to 5 minutes. Overseas research for floor traded equities / screen traded futures markets document a 20 minute lead in returns on stock index futures. Our results for the Australian floor traded futures / screen traded equities markets imply that the introduction of screen trading in the stock market has eroded the price discovery function.


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