Investigation of a lead-lag relationship between spot and futures indices of the Hang Seng stock average

Gulasekaran Rajaguru, Sanja Samirana Pattnayak

Research output: Contribution to journalArticleResearchpeer-review

Abstract

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.
Original languageEnglish
Pages (from-to)69-82
Number of pages14
JournalInternational Journal of Business Studies
Volume15
Issue number1
Publication statusPublished - 1 Jun 2007
EventThe Economic Society of Australia 31st Conference of Economists - Adelaide, Australia
Duration: 30 Sep 20023 Oct 2002

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Integrated
Alternative models
Lead-lag relationship
Moving average
Error correction
Error correction model
Vector autoregressive model
Forecast performance
Vector error correction model
Forecasting performance

Cite this

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Investigation of a lead-lag relationship between spot and futures indices of the Hang Seng stock average. / Rajaguru, Gulasekaran; Pattnayak, Sanja Samirana.

In: International Journal of Business Studies, Vol. 15, No. 1, 01.06.2007, p. 69-82.

Research output: Contribution to journalArticleResearchpeer-review

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