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Information Transmission Across Stock Indices and Stock Index Futures: International Evidence Using Wavelet Framework

Aloui, Chaker, Hkiri, Besma, Lau, Marco 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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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: H Social Sciences > HB Economic Theory
Schools: Huddersfield Business School
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Depositing User: Jonathan Cook
Date Deposited: 14 Nov 2017 12:30
Last Modified: 16 Nov 2017 06:34
URI: http://eprints.hud.ac.uk/id/eprint/33881

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