An investigation of the lead-lag relationship between the All Ordinaries Share Price Index and the SPI Futures Contract traded on the Sydney Futures Exchange

Wong, Alexander H. H. (1996). An investigation of the lead-lag relationship between the All Ordinaries Share Price Index and the SPI Futures Contract traded on the Sydney Futures Exchange Master's Thesis, School of Business, The University of Queensland.

       
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Author Wong, Alexander H. H.
Thesis Title An investigation of the lead-lag relationship between the All Ordinaries Share Price Index and the SPI Futures Contract traded on the Sydney Futures Exchange
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 1996
Thesis type Master's Thesis
Total pages 100
Language eng
Subjects 14 Economics
Formatted abstract This thesis investigate the lead-lag relationship between the All Ordinaries Share Price Index and the SPI Future Contracts. The results show that a lead-lag relationship exist within the Australian share price index and SPI futures contract market. The Serial Correlation and Cross-correlation test suggest that futures return tend to lead the index return for most of the lags analysed. However, the results from the Distributed-lag model suggest that this lead-lag relationships is not unidirectional. The Error Correction Model provides evidence that an equilibrium relationship exists between the price of the share price index and the SPI futures Contracts.

Generally, the results appears to be consistent with the empirical studies conducted in the US.


Document type: Thesis
Collection: UQ Theses (non-RHD) - UQ staff and students only
 
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Created: Wed, 27 Oct 2010, 11:54:57 EST by Ning Jing on behalf of Social Sciences and Humanities Library Service