The lead-lag relationship between cash and stock index futures in a new market

European Financial Management

Volumn 14, Issue 5, 2008, Pages 1007-1025

  Kavussanos, Manolis G ^a   Visvikis, Ilias D ^b   Alexakis, Panayotis D ^c  

^a ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

^b The American College of Greece   (Greece)

^c UNIVERSITY OF ATHENS   (Greece)

Author keywords

GIR analysis; Granger causality; Price discovery; Stock index futures markets; VECM GARCH; Volatility spillovers

Indexed keywords

EID: 42149156796     PISSN: 13547798     EISSN: 1468036X     Source Type: Journal    
DOI: 10.1111/j.1468-036X.2007.00412.x     Document Type: Article

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