Price discovery between index futures and spot markets

In this paper, we utilize high-frequency 15-seconds intraday data from September 2018 through to August 2019 to investigate price leadership dynamics between futures and spot markets in Malaysia. We employ Maximal Overlap Discrete Wavelet Transform to evaluate interdependence between contemporaneous...

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Main Authors:	Sifat, Imtiaz Mohamma, Mohamad, Azhar, Amin, Kevin R.
Format:	Conference or Workshop Item
Language:	English English
Published:	2019
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/73881/ http://irep.iium.edu.my/73881/ http://irep.iium.edu.my/73881/1/MFA%202019%20KLCI%20FKLI%20%20Intraday%20%26%20Wavelet.pdf http://irep.iium.edu.my/73881/12/MFA%202019%20Presenttaion%20schedule.pdf

id	iium-73881
recordtype	eprints
spelling	iium-738812019-10-29T12:23:37Z http://irep.iium.edu.my/73881/ Price discovery between index futures and spot markets Sifat, Imtiaz Mohamma Mohamad, Azhar Amin, Kevin R. HG4501 Stocks, investment, speculation In this paper, we utilize high-frequency 15-seconds intraday data from September 2018 through to August 2019 to investigate price leadership dynamics between futures and spot markets in Malaysia. We employ Maximal Overlap Discrete Wavelet Transform to evaluate interdependence between contemporaneous futures and spot returns spaced at 15 seconds. We observe that price discovery between futures and spot markets constitutes at granular level is a scale-dependent phenomenon. Moreover, we record a counter-intuitive but not unprecedented evidence of futures market lagging the spot market in price formation with the speed of adjustment approaching convergence in between 1-8 minutes. Our findings constitute evidence against the efficient market hypothesis and hint at arbitrageable opportunities, especially by high-frequency robots. Robustness checks via BEKK-GARCH and DCC-GARCH estimations yield no contradiction. 2019-07-31 Conference or Workshop Item NonPeerReviewed application/pdf en http://irep.iium.edu.my/73881/1/MFA%202019%20KLCI%20FKLI%20%20Intraday%20%26%20Wavelet.pdf application/pdf en http://irep.iium.edu.my/73881/12/MFA%202019%20Presenttaion%20schedule.pdf Sifat, Imtiaz Mohamma and Mohamad, Azhar and Amin, Kevin R. (2019) Price discovery between index futures and spot markets. In: The 21st Malaysian Finance Association Conference 2019 (MFAC 2019), 31st July - 1st August 2019, Bandar Sunway, Selangor. (Unpublished) https://www.mfa.com.my/conference/mfac2019/
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Sifat, Imtiaz Mohamma Mohamad, Azhar Amin, Kevin R. Price discovery between index futures and spot markets
description	In this paper, we utilize high-frequency 15-seconds intraday data from September 2018 through to August 2019 to investigate price leadership dynamics between futures and spot markets in Malaysia. We employ Maximal Overlap Discrete Wavelet Transform to evaluate interdependence between contemporaneous futures and spot returns spaced at 15 seconds. We observe that price discovery between futures and spot markets constitutes at granular level is a scale-dependent phenomenon. Moreover, we record a counter-intuitive but not unprecedented evidence of futures market lagging the spot market in price formation with the speed of adjustment approaching convergence in between 1-8 minutes. Our findings constitute evidence against the efficient market hypothesis and hint at arbitrageable opportunities, especially by high-frequency robots. Robustness checks via BEKK-GARCH and DCC-GARCH estimations yield no contradiction.
format	Conference or Workshop Item
author	Sifat, Imtiaz Mohamma Mohamad, Azhar Amin, Kevin R.
author_facet	Sifat, Imtiaz Mohamma Mohamad, Azhar Amin, Kevin R.
author_sort	Sifat, Imtiaz Mohamma
title	Price discovery between index futures and spot markets
title_short	Price discovery between index futures and spot markets
title_full	Price discovery between index futures and spot markets
title_fullStr	Price discovery between index futures and spot markets
title_full_unstemmed	Price discovery between index futures and spot markets
title_sort	price discovery between index futures and spot markets
publishDate	2019
url	http://irep.iium.edu.my/73881/ http://irep.iium.edu.my/73881/ http://irep.iium.edu.my/73881/1/MFA%202019%20KLCI%20FKLI%20%20Intraday%20%26%20Wavelet.pdf http://irep.iium.edu.my/73881/12/MFA%202019%20Presenttaion%20schedule.pdf
first_indexed	2023-09-18T21:44:45Z
last_indexed	2023-09-18T21:44:45Z
_version_	1777413375433637888

Price discovery between index futures and spot markets

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