This study examines the lead-lag relationships between the spot index and futures index of the Hang Seng Stock Average. Using the daily data we compare the forecast performance of Fractionally Integrated Error Correction Model against the possible alternative models. The alternative models include autoregressive integrated moving average, the vector autoregressive model and the vector error correction model. The best forecasting performance is obtained from error correction and fractional cointegrated models for the short and long forecasting horizon respectively.
|Number of pages||14|
|Journal||International Journal of Business Studies|
|Publication status||Published - 1 Jun 2007|
|Event||The Economic Society of Australia 31st Conference of Economists - Adelaide, Australia|
Duration: 30 Sep 2002 → 3 Oct 2002
Rajaguru, G., & Pattnayak, S. S. (2007). Investigation of a lead-lag relationship between spot and futures indices of the Hang Seng stock average. International Journal of Business Studies, 15(1), 69-82.