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| Author: | Kavussanos, M.G. Visvikis, I.D. Alexakis, P.D. |
| Title: | The lead-lag relationship between cash and stock index futures in a new market |
| Journal: | European Financial Management
2008 : NOV, VOL. 14:5, p. 1007-1025 |
| Index terms: | stock markets futures markets derivative securities prices volatility information Greece |
| Language: | eng |
| Abstract: | This paper examines the lead-lag relationship of daily returns and volatilities btw. price movements of the FTSE/ATHEX-20 and FTSE/ATHEX Mid-40 stock index futures and the underlying cash indices in the new futures market of Greece. It is shown that there is a bi-directional relationship btw. cash and futures prices. However, futures lead the cash index returns, by responding more rapidly to economic events than stock prices etc. Overall, new market information seems to get disseminated faster in the futures market compared to the stock market. |
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