文章基本信息

标题：The Temporal Price Relationship between the Stock Index Futures and the Underlying Stock Index: Evidence from Malaysia
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作者：Mahdhir Abdullah ; Annuar Mohd. Nasir ; Shamsher Mohamad 等
期刊名称：Pertanika Journal of Social Sciences & Humanities
印刷版ISSN：0128-7702
电子版ISSN：2231-8534
出版年度：2002
卷号：10
期号：1
出版社：Universiti Putra Malaysia
摘要：The stock index futures was introduced in Malaysia in December 1995 with the launching of the futures contract on the Kuala Lumpur Stock Exchange Composite Index. Due to its recentness in the country, many issues pertaining to this equity derivatives instrument have not been explored. Thus, the development of stock index futures opens many opportunities for research in this area. This study examines the temporal relationship between the price of the Kuala Lumpur Stock Exchange Composite Index futures contract (FKLI) and its underlying stock index, the Kuala Lumpur Stock Exchange Composite Index (KLSE Cl). The five-year period under study is split into three subperiods to observe the price co-movement pattern under different volatility levels. The study finds that futures market tends to lead the spot market by one day during the periods of stable market, and there is a mixed lead-lag relationship between the two markets during the period of highly volatile market.
关键词：Stock index futures; lead and lag relationships