In this study, we examine the lead-lag effect between stock index futures and its spot markets in Taiwan by employing a newly developed econometrics method, ARDL-ECM approach. The advantage of applying such technique is to avoid earlier ambiguous causality testing procedure, and it can provide more clearly representation of a stable unidirectional price discovery process. By verifying intraday data, we find that the futures prices lead spot markets for about 30 min during the year 2004. Moreover, during the presidential election period which caused political turbulent in Taiwan, the function of future market supposed as the dominated role of price discovery becomes futility. Such findings are consistent with the ‘surprising election outcomes’ phenomenon.
Quality & Quantity – Springer Journals
Published: Mar 23, 2011
It’s your single place to instantly
discover and read the research
that matters to you.
Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.
All for just $49/month
Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly
Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.
Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.
Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.
All the latest content is available, no embargo periods.
“Hi guys, I cannot tell you how much I love this resource. Incredible. I really believe you've hit the nail on the head with this site in regards to solving the research-purchase issue.”Daniel C.
“Whoa! It’s like Spotify but for academic articles.”@Phil_Robichaud
“I must say, @deepdyve is a fabulous solution to the independent researcher's problem of #access to #information.”@deepthiw
“My last article couldn't be possible without the platform @deepdyve that makes journal papers cheaper.”@JoseServera