Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/29845
Title: The lead-lag relation between spot and futures markets under different short-selling regimes
Authors: Jiang, L 
Fung, JKW
Cheng, LTW 
Keywords: Lead-lag relation
Index futures
Spot market
Short-selling
Informational efficiency
Issue Date: 2001
Publisher: Wiley-Blackwell
Source: Financial review, 2001, v. 36, no. 3, p. 63-88 How to cite?
Journal: Financial review 
Abstract: We examine the lead-lag relation between index futures and the underlying index under three types of short-selling restrictions on stocks in Hong Kong. Our results indicate that lifting short-selling restrictions can enhance the informational efficiency of the stock market relative to the index futures. We also investigate the impact of two market characteristics, market conditions and the magnitude of mispricing on the lead-lag relations under different short-selling regimes. Our findings suggest that if we remove restrictions, the contemporaneous price relation between the futures and cash markets becomes stronger particularly in the falling market and when the cash market is relatively overpriced.
URI: http://hdl.handle.net/10397/29845
ISSN: 0732-8516
EISSN: 1540-6288
DOI: 10.1111/j.1540-6288.2001.tb00020.x
Appears in Collections:Journal/Magazine Article

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