Economics at your fingertips  

Information transmission across stock indices and stock index futures: International evidence using wavelet framework

Chaker Aloui, Besma Hkiri, Marco Chi Keung Lau and Larisa Yarovaya

Research in International Business and Finance, 2018, vol. 44, issue C, 411-421

Abstract: This paper provides international evidence on dynamic linkages between stock indices and stock index futures using daily data on 11 emerging and developed markets for the period from 3 October 2010 to 3 October 2014. In this study, we focus on the major wavelets tools: individual power spectrum, cross-wavelet power and wavelet coherency. The results show that the co-movement between spot and futures indices reveals an erratic behaviour. The paper also identifies the difference in patterns of comovements for emerging and developed markets, which makes empirical results highly significant for practitioners and policy makers.

Keywords: Spot futures interlinkages; Wavelet methodology; Wavelet coherence; Emerging markets (search for similar items in EconPapers)
JEL-codes: G15 G11 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.ribaf.2017.07.112

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

Page updated 2020-06-02
Handle: RePEc:eee:riibaf:v:44:y:2018:i:c:p:411-421