文献类型：期刊文献

英文题名：The lead-lag relationship between stock index and stock index futures: A thermal optimal path method

作者：Gong, Chen-Chen[1];Ji, Shen-Dan[1];Su, Li-Ling[1];Li, Sai-Ping[2];Ren, Fei[1,3,4]

机构：[1]E China Univ Sci & Technol, Sch Business, 130 Meilong Rd,POB 114, Shanghai 200237, Peoples R China;[2]Acad Sinica, Inst Phys, Taipei 115, Taiwan;[3]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[4]E China Univ Sci & Technol, Engn Res Ctr Proc Syst Engn, Minist Educ, Shanghai 200237, Peoples R China

年份：2016

卷号：444

起止页码：63

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20154401480332);WOS:【SSCI(收录号:WOS:000366785900007)，SCI-EXPANDED(收录号:WOS:000366785900007)】；

基金：The authors would like to thank Wei-Xing Zhou and Hao Meng for helpful discussion and suggestions. This work was partially supported by the National Natural Science Foundation (Nos. 10905023, 11075054 and 71131007), Humanities and Social Sciences Fund sponsored by Ministry of Education of the Peoples Republic of China (No. 09YJCZH042), the Shanghai (Follow-up) Rising Star Program Grant 11QH1400800, and the Fundamental Research Funds for the Central Universities (2015).

语种：英文

外文关键词：Econophysics; Lead-lag relationship; Stock markets

摘要：The study of lead-lag relationship between stock index and stock index futures is of great importance for its wide application in hedging and portfolio investments. Previous works mainly use conventional methods like Granger causality test, GARCH model and error correction model, and focus on the causality relation between the index and futures in a certain period. By using a non-parametric approach-thermal optimal path (TOP) method, we study the lead-lag relationship between China Securities Index 300 (CSI 300), Hang Seng Index (HSI), Standard and Poor 500 (S&P 500) Index and their associated futures to reveal the variance of their relationship over time. Our finding shows evidence of pronounced futures leadership for well established index futures, namely HSI and S&P 500 index futures, while index of developing market like CSI 300 has pronounced leadership. We offer an explanation based on the measure of an indicator which quantifies the differences between spot and futures prices for the surge of lead-lag function. Our results provide new perspectives for the understanding of the dynamical evolution of lead-lag relationship between stock index and stock index futures, which is valuable for the study of market efficiency and its applications. (C) 2015 Elsevier B.V. All rights reserved.