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

Chaker Aloui; Besma Hkiri; Chi Keung Lau; Larisa Yarovaya

doi:10.1016/j.ribaf.2017.07.112

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

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

Research output: Contribution to journal › Article › peer-review

21 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 language	English
Pages (from-to)	411-421
Journal	Research in International Business and Finance
Volume	44
Early online date	12 Jul 2017
DOIs	https://doi.org/10.1016/j.ribaf.2017.07.112
Publication status	Published - Apr 2018

Keywords

Spot futures interlinkages
Wavelet methodology
Wavelet coherence
Emerging markets

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10.1016/j.ribaf.2017.07.112

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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",

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AU - Lau, Chi Keung

AU - Yarovaya, Larisa

PY - 2018/4

Y1 - 2018/4

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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

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

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Keywords

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