TY - JOUR
T1 - Information transmission across stock indices and stock index futures : International evidence using wavelet framework
AU - Aloui, Chaker
AU - Hkiri, Besma
AU - Lau, Marco Chi Keung
AU - Yarovaya, Larisa
N1 - Publisher Copyright:
© 2017 Elsevier B.V.
Copyright:
Copyright 2018 Elsevier B.V., All rights reserved.
PY - 2018/4/12
Y1 - 2018/4/12
N2 - This paper provides international evidence on dynamic linkages between stock indices and stock index futures using daily data on 11 emerging and developed markets for the period from 3 October 2010 to 3 October 2014. In this study, we focus on the major wavelets tools: individual power spectrum, cross-wavelet power and wavelet coherency. The results show that the co-movement between spot and futures indices reveals an erratic behaviour. The paper also identifies the difference in patterns of comovements for emerging and developed markets, which makes empirical results highly significant for practitioners and policy makers.
AB - This paper provides international evidence on dynamic linkages between stock indices and stock index futures using daily data on 11 emerging and developed markets for the period from 3 October 2010 to 3 October 2014. In this study, we focus on the major wavelets tools: individual power spectrum, cross-wavelet power and wavelet coherency. The results show that the co-movement between spot and futures indices reveals an erratic behaviour. The paper also identifies the difference in patterns of comovements for emerging and developed markets, which makes empirical results highly significant for practitioners and policy makers.
UR - http://www.scopus.com/inward/record.url?scp=85025164869&partnerID=8YFLogxK
U2 - 10.1016/j.ribaf.2017.07.112
DO - 10.1016/j.ribaf.2017.07.112
M3 - Article
AN - SCOPUS:85025164869
SN - 0275-5319
VL - 44
SP - 411
EP - 421
JO - Research in International Business and Finance
JF - Research in International Business and Finance
ER -