The lead-lag relationship between stock index and stock index futures: A thermal optimal path method

Physica A: Statistical Mechanics and its Applications

Volumn 444, Issue , 2016, Pages 63-72

  Gong, Chen Chen ^a   Ji, Shen Dan ^a   Su, Li Ling ^a   Li, Sai Ping ^b   Ren, Fei ^a,c  

^a EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b INSTITUTE OF PHYSICS   (Taiwan)

^c EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

Author keywords

Econophysics; Lead lag relationship; Stock markets

Indexed keywords

COMMERCE; ERROR CORRECTION; INVESTMENTS;

ECONOPHYSICSS; ERROR CORRECTION MODELS; GRANGER CAUSALITY TEST; LEAD-LAG; NONPARAMETRIC APPROACHES; PORTFOLIO INVESTMENT; RELATIONSHIP BETWEEN STOCKS; SPOT AND FUTURES PRICES;

FINANCIAL MARKETS;

EID: 84945388751     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2015.10.028     Document Type: Article

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