Lead-lag relationship between stock futures index and cash price index in Malaysia / Ahmad Syazwan Hirun Azaman

The relationship between spot price index and futures price index has been heavily studied by researchers empirically and theoretically. The downside of these studies is that only several studies were conducted in emerging markets and most of them were focused more on the developing market. In perfe...

Full description

Bibliographic Details
Main Author:	Hirun Azaman, Ahmad Syazwan
Format:	Student Project
Language:	English
Published:	Faculty of Business Management, Universiti Teknologi MARA 2018
Subjects:	Stock price indexes. Stock quotations
Online Access:	http://ir.uitm.edu.my/id/eprint/26717/ http://ir.uitm.edu.my/id/eprint/26717/1/PPb_AHMAD%20SYAZWAN%20HIRUN%20AZAMAN%20BM%20J%2018_5.pdf

id	uitm-26717
recordtype	eprints
spelling	uitm-267172019-12-09T03:49:17Z http://ir.uitm.edu.my/id/eprint/26717/ Lead-lag relationship between stock futures index and cash price index in Malaysia / Ahmad Syazwan Hirun Azaman Hirun Azaman, Ahmad Syazwan Stock price indexes. Stock quotations The relationship between spot price index and futures price index has been heavily studied by researchers empirically and theoretically. The downside of these studies is that only several studies were conducted in emerging markets and most of them were focused more on the developing market. In perfect markets, relationship between spot index and futures index price changes should be perfect. However, one of these markets may reflect information faster compared to the other market due to market imperfections. This study actually aims to determine the cointegration and causality relationship between stock futures index and cash price index in Malaysia. The data involved in this study includes FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCI), FTSE Bursa Malaysia KLCI Futures (FKLI) and FTSE Bursa Malaysia KLCI Futures for next month (FKLINM). In this study, several tests like Granger causality test and cointegration test were used in order to study the relationship between the spot price index and frtures price index. The direction of causality relationship of these two variables is unidirectional which runs from cash market to futures market. It shows that the cash market is more active than the futures market. Faculty of Business Management, Universiti Teknologi MARA 2018 Student Project NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/26717/1/PPb_AHMAD%20SYAZWAN%20HIRUN%20AZAMAN%20BM%20J%2018_5.pdf Hirun Azaman, Ahmad Syazwan (2018) Lead-lag relationship between stock futures index and cash price index in Malaysia / Ahmad Syazwan Hirun Azaman. [Student Project] (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
topic	Stock price indexes. Stock quotations
spellingShingle	Stock price indexes. Stock quotations Hirun Azaman, Ahmad Syazwan Lead-lag relationship between stock futures index and cash price index in Malaysia / Ahmad Syazwan Hirun Azaman
description	The relationship between spot price index and futures price index has been heavily studied by researchers empirically and theoretically. The downside of these studies is that only several studies were conducted in emerging markets and most of them were focused more on the developing market. In perfect markets, relationship between spot index and futures index price changes should be perfect. However, one of these markets may reflect information faster compared to the other market due to market imperfections. This study actually aims to determine the cointegration and causality relationship between stock futures index and cash price index in Malaysia. The data involved in this study includes FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCI), FTSE Bursa Malaysia KLCI Futures (FKLI) and FTSE Bursa Malaysia KLCI Futures for next month (FKLINM). In this study, several tests like Granger causality test and cointegration test were used in order to study the relationship between the spot price index and frtures price index. The direction of causality relationship of these two variables is unidirectional which runs from cash market to futures market. It shows that the cash market is more active than the futures market.
format	Student Project
author	Hirun Azaman, Ahmad Syazwan
author_facet	Hirun Azaman, Ahmad Syazwan
author_sort	Hirun Azaman, Ahmad Syazwan
title	Lead-lag relationship between stock futures index and cash price index in Malaysia / Ahmad Syazwan Hirun Azaman
title_short	Lead-lag relationship between stock futures index and cash price index in Malaysia / Ahmad Syazwan Hirun Azaman
title_full	Lead-lag relationship between stock futures index and cash price index in Malaysia / Ahmad Syazwan Hirun Azaman
title_fullStr	Lead-lag relationship between stock futures index and cash price index in Malaysia / Ahmad Syazwan Hirun Azaman
title_full_unstemmed	Lead-lag relationship between stock futures index and cash price index in Malaysia / Ahmad Syazwan Hirun Azaman
title_sort	lead-lag relationship between stock futures index and cash price index in malaysia / ahmad syazwan hirun azaman
publisher	Faculty of Business Management, Universiti Teknologi MARA
publishDate	2018
url	http://ir.uitm.edu.my/id/eprint/26717/ http://ir.uitm.edu.my/id/eprint/26717/1/PPb_AHMAD%20SYAZWAN%20HIRUN%20AZAMAN%20BM%20J%2018_5.pdf
first_indexed	2023-09-18T23:17:20Z
last_indexed	2023-09-18T23:17:20Z
_version_	1777419199868567552

Lead-lag relationship between stock futures index and cash price index in Malaysia / Ahmad Syazwan Hirun Azaman

Similar Items