文献类型：期刊文献

英文题名：A Multi-market Comparison of the Intraday Lead-Lag Relations Among Stock Index-Based Spot, Futures and Options

作者：Ren, Fei[1,2,3];Cai, Mei-Ling[1];Li, Sai-Ping[4,5];Xiong, Xiong[6];Chen, Zhang-HangJian[7]

机构：[1]East China Univ Sci & Technol, Sch Business, 130 Meilong Rd,POB 114, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China;[4]Acad Sinica, Inst Phys, Taipei 115, Taiwan;[5]Hong Kong Univ Sci & Technol, Dept Phys, Clear Water Bay, Kowloon, Hong Kong, Peoples R China;[6]Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China;[7]Anhui Univ, Sch Econ, 111 Jiulong Rd, Hefei 230601, Peoples R China

年份：2023

卷号：62

期号：1

起止页码：1

外文期刊名：COMPUTATIONAL ECONOMICS

收录：;WOS:【SSCI(收录号:WOS:000795641200001)，SCI-EXPANDED(收录号:WOS:000795641200001)】；

基金：This work was partially supported by the National Natural Science Foundation of China (Nos. 71790594 and 71871094), the Humanities and Social Sciences Fund sponsored by Ministry of Education of the People Republic of China (No. 17YJAZH067), and the Fundamental Research Funds for the Central Universities (No. JKN02212304).

语种：英文

外文关键词：Lead-lag relation; Thermal optimal path; Information share model; High-frequency data; SSE 50

摘要：Using 1-min data, we explore the dynamic variation of the intraday lead-lag relations between stock indices and their derivatives through a comprehensive study with broader coverage of research objectives and methodologies. This paper provides explicit evidence that the futures and options exhibit price leadership over the spot market, and the options is ahead of the futures on most trading days in all three markets. This paper also reports a new finding that the relation between the derivative and its underlying index reverses when the index return has a significantly larger mean value, and the reversal phenomenon is also observed in the relations between the futures and the options, which enriches the empirical results of intraday lead-lag relations. Moreover, these conclusions still hold under the impact of extreme events, e.g., the outbreak of the Covid-19. Finally, we construct a pair trading strategy based on the intraday lead-lag relationships, which can get better performance than the corresponding spot index. Our findings can potentially help regulators understand the price discovery process between the index and its derivatives, and also be of great value for timely adjustment of investors intraday trading strategies.