Yarovaya_2017.docx (2.82 MB)
Information transmission across stock indices and stock index futures: international evidence using wavelet framework
journal contribution
posted on 2023-08-30, 14:49 authored by Chaker Aloui, Marco C. K. Lau, Besma Hkiri, Larisa YarovayaThis 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.
History
Refereed
- Yes
Volume
44Page range
411-421Publication title
Research in International Business and FinanceISSN
0275-5319External DOI
Publisher
ElsevierFile version
- Accepted version
Language
- eng
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Legacy posted date
2017-09-19Legacy creation date
2017-08-22Legacy Faculty/School/Department
ARCHIVED Lord Ashcroft International Business School (until September 2018)Usage metrics
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