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| Tekijä: | Martikainen, T. Perttunen, J. Puttonen, V. |
| Otsikko: | On the dynamics of stock index futures and individual stock returns |
| Lehti: | Journal of Business Finance and Accounting
1995 : JAN, VOL. 22:1, p. 87-100 |
| Asiasana: | FINANCE CAUSALITY TRADE |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates two-way causality between stock index futures and individual stock returns in the Finnish markets. The futures returns have predictive power for both frequently and infrequently traded stocks. In general, the results suggest that the futures market updates information more rapidly than the cash market, while nonsynchronous trading seems not to be the dominant factor making futures returns lead stock returns. |
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