Measuring the dynamic lead–lag relationship between the cash market and stock index futures market

Chaoqun Ma, Ru Xiao and Xianhua Mi

Finance Research Letters, 2022, vol. 47, issue PB

Abstract: This paper develops three new nonparametric and nonlinear measurements for the dynamic lead–lag relationship between stock index futures and the cash index based on the dynamic time warping algorithm: one point measurement (e.g, for one minute) and two interval measurements (e.g, for one day). The simulation experiment shows the satisfactory performance of our measurements. The empirical evidence suggests that the distribution of the lead–lag times of the CSI 300 index futures relative to the cash index is right skewed with high kurtosis, and the index futures usually lead the cash index by 0–5 min but occasionally lag the cash index.

Keywords: Lead–lag relationship; Dynamic time warping; High frequency; Stock index futures (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322002008

DOI: 10.1016/j.frl.2022.102940

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