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Information transmission across stock indices and stock index futures: international evidence using wavelet framework

Information transmission across stock indices and stock index futures: international evidence using wavelet framework
Information transmission across stock indices and stock index futures: international evidence using wavelet framework
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.
spot futures interlinkages, wavelet methodology, wavelet coherence, emerging markets
0275-5319
411-421
Aloui, Chaker
83abae9e-6c56-46f0-8f64-bb5c9dc99e28
Hkiri, Besma
e3ce3fa3-6367-4d6a-9927-a565075ab3de
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Aloui, Chaker
83abae9e-6c56-46f0-8f64-bb5c9dc99e28
Hkiri, Besma
e3ce3fa3-6367-4d6a-9927-a565075ab3de
Lau, Chi Keung Marco
43ad3ed0-54fa-42a9-868c-744a628b42fe
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

Aloui, Chaker, Hkiri, Besma, Lau, Chi Keung Marco and Yarovaya, Larisa (2018) Information transmission across stock indices and stock index futures: international evidence using wavelet framework. Research in International Business and Finance, 44, 411-421. (doi:10.1016/j.ribaf.2017.07.112).

Record type: Article

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.

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Yarovaya_Information - Accepted Manuscript
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Accepted/In Press date: 5 July 2017
e-pub ahead of print date: 12 July 2017
Published date: April 2018
Keywords: spot futures interlinkages, wavelet methodology, wavelet coherence, emerging markets

Identifiers

Local EPrints ID: 426346
URI: http://eprints.soton.ac.uk/id/eprint/426346
ISSN: 0275-5319
PURE UUID: d23df754-6f63-49a0-8cbd-36268d45e10c

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Date deposited: 23 Nov 2018 17:30
Last modified: 17 Dec 2019 05:08

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Contributors

Author: Chaker Aloui
Author: Besma Hkiri
Author: Chi Keung Marco Lau
Author: Larisa Yarovaya

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