Information Transmission Across Stock Indices and Stock Index Futures

International Evidence Using Wavelet Framework

Chaker Aloui, Besma Hkiri, Marco Chi Keung Lau, Larisa Yarovaya

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)411-421
Number of pages11
JournalResearch in International Business and Finance
Volume44
Early online date12 Jul 2017
DOIs
Publication statusPublished - Apr 2018
Externally publishedYes

Fingerprint

Information transmission
Stock index
Wavelets
Stock index futures
Comovement
Politicians
Empirical results
Linkage

Cite this

@article{a23295faad98426e9e28c94ed1dc3d43,
title = "Information Transmission Across Stock Indices and Stock Index Futures: International Evidence Using Wavelet Framework",
abstract = "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.",
keywords = "Spot futures interlinkages, Wavelet methodology, Wavelet coherence, Emerging markets",
author = "Chaker Aloui and Besma Hkiri and Lau, {Marco Chi Keung} and Larisa Yarovaya",
year = "2018",
month = "4",
doi = "10.1016/j.ribaf.2017.07.112",
language = "English",
volume = "44",
pages = "411--421",
journal = "Research in International Business and Finance",
issn = "0275-5319",
publisher = "Elsevier BV",

}

Information Transmission Across Stock Indices and Stock Index Futures : International Evidence Using Wavelet Framework. / Aloui, Chaker; Hkiri, Besma; Lau, Marco Chi Keung; Yarovaya, Larisa.

In: Research in International Business and Finance, Vol. 44, 04.2018, p. 411-421.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Information Transmission Across Stock Indices and Stock Index Futures

T2 - International Evidence Using Wavelet Framework

AU - Aloui, Chaker

AU - Hkiri, Besma

AU - Lau, Marco Chi Keung

AU - Yarovaya, Larisa

PY - 2018/4

Y1 - 2018/4

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.

KW - Spot futures interlinkages

KW - Wavelet methodology

KW - Wavelet coherence

KW - Emerging markets

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

VL - 44

SP - 411

EP - 421

JO - Research in International Business and Finance

JF - Research in International Business and Finance

SN - 0275-5319

ER -