Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/28406
Title: Threshold non-linear dynamics between Hang Seng Stock Index and futures returns
Authors: Chung, HL
Chan, WS
Batten, JA
Keywords: Futures markets
Hang seng index
Lead-lag relationship
Non-linearity test
Threshold autoregression
Issue Date: 2011
Publisher: Routledge, Taylor & Francis Group
Source: European journal of finance, 2011, v. 17, no. 7, p. 471-486 How to cite?
Journal: European journal of finance 
Abstract: We test the joint dynamics between the Hong Kong Hang Seng Index futures and the underlying cash index using a Bivariate Threshold AutoRegressive model, which is better able to capture the complex return dynamics evident in financial time series. The results are consistent with a three-regime version of the model, where the lead-lag relation between the index and futures returns is a non-linear thres hold type and the regime switching process depends on the state of the threshold variable. This interaction is symmetric rather than unidirectional, with the strength of the interaction dependent on the regime. These three regimes are also characterised by significant variation in volume, which is consistent with liquidity-induced arbitrage trading.
URI: http://hdl.handle.net/10397/28406
ISSN: 1351-847X
EISSN: 1466-4364
DOI: 10.1080/1351847X.2010.481469
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