Articlegreen1998

Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market

80 citations0/0 files storedEuropean Finance Review

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

Abstract In rational, efficiently functioning and complete markets, returns on derivative and underlying securities should be perfectly contemporaneously correlated. Due to market imperfections, one of these markets may reflect information faster. The use of high-frequency data and the choice for a small unit time interval to measure these lead-lag relations comes at the cost of some or many missing observations, causing traditional estimators to either under- or overestimate covariances and correlations. We use a new estimator to estimate lead-lag relationships between the cash AEX index, options and futures. We find that futures returns lead both options and cash index returns by approximately 10 minutes. The relationship between options and the cash market is not completely unidirectional. JEL Classification: G13, G14

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 80 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1991Inferring Trade Direction from Intraday Data 1972MONEY, INCOME, AND CAUSALITY 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1994Implied Binomial Trees 1975Fact and Fantasy in the Use of Options

Cited by

2005Decimalization, trading costs, and information transmission between ETFs and index futures 2014High frequency lead/lag relationships — Empirical facts 2018Price discovery among SSE 50 Index‐based spot, futures, and options markets 2020What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?2000The Impact of Derivatives on Cash Markets: What Have We Learned?2019

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.