Abstract
This study examines the temporal pricing relationship between four South African index futures contracts and their underlying spot market indices. In frictionless and efficient markets, price changes in the two markets should be perfectly contemporaneously correlated. Any evidence of a lead-lag relationship between spot prices and futures prices therefore provides insight into the relative informational efficiency of the market, The paper provides evidence that the JSE stock index futures contracts are cointegrated with the spot market. Fitted error correction models find that the stock index futures price changes lead those of the underlying spot index by up to three days in reflecting new information.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
