What market (spot or future) reflects news first? An analysis in the frequency domain for Brazilian stock market

Diogo de Prince (dioted@gmail.com) and Alexandre Monte (alexandremonte@yahoo.com.br)
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Diogo de Prince: PhD student at Getulio Vargas Foundation in Brazil
Alexandre Monte: MA at Getulio Vargas Foundation in Brazil
Authors registered in the RePEc Author Service: Diogo de Prince Mendonça (dioted@gmail.com)

Economics Bulletin, 2013, vol. 33, issue 3, 1780-1787

Abstract: What market (spot or future) reflects news first? This question is investigated with Granger causality and Breitung and Candelon (2006) causality test in the frequency domain for Brazilian stock market. The results differ depending on which index (ETF, exchange traded funds, or the spot index) is used for the spot market. The future market causes the index and ETF (for most of the frequency). But ETF only helps to predict future market for intraday operations in the very short term.

Keywords: Price discovery; futures market; spot market; frequency domain (search for similar items in EconPapers)
JEL-codes: C3 G1 (search for similar items in EconPapers)
Date: 2013-07-11
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