Information transmission across stock indices and stock index futures: International evidence using wavelet framework

Aloui, Chaker, Hkiri, Besma, Lau, Chi Keung and Yarovaya, Larisa (2017) Information transmission across stock indices and stock index futures: International evidence using wavelet framework. Research in International Business and Finance. ISSN 0275-5319 (In Press)

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Official URL: https://doi.org/10.1016/j.ribaf.2017.07.112

Abstract

This paper provides international evidence on dynamic linkages between stock indices and stock index futures using daily data on 11 emerging and developed markets for the period from 3 October 2010 to 3 October 2014. In this study, we focus on the major wavelets tools: individual power spectrum, cross-wavelet power and wavelet coherency. The results show that the co-movement between spot and futures indices reveals an erratic behaviour. The paper also identifies the difference in patterns of comovements for emerging and developed markets, which makes empirical results highly significant for practitioners and policy makers.

Item Type: Article
Uncontrolled Keywords: Spot futures interlinkages, Wavelet methodology, Wavelet coherence, Emerging markets
Subjects: N100 Business studies
N300 Finance
Department: Faculties > Business and Law > Newcastle Business School > Business and Management
Depositing User: Becky Skoyles
Date Deposited: 07 Aug 2017 10:39
Last Modified: 07 Aug 2017 10:39
URI: http://nrl.northumbria.ac.uk/id/eprint/31543

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