Price discovery between index futures and spot markets
In this paper, we utilize high-frequency 15-seconds intraday data from September 2018 through to August 2019 to investigate price leadership dynamics between futures and spot markets in Malaysia. We employ Maximal Overlap Discrete Wavelet Transform to evaluate interdependence between contemporaneous...
| Main Authors: | , , |
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| Format: | Proceeding Paper |
| Language: | English English |
| Published: |
2019
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/73881/ http://irep.iium.edu.my/73881/1/MFA%202019%20KLCI%20FKLI%20%20Intraday%20%26%20Wavelet.pdf http://irep.iium.edu.my/73881/12/MFA%202019%20Presenttaion%20schedule.pdf |
| _version_ | 1848787875895705600 |
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| author | Sifat, Imtiaz Mohamma Mohamad, Azhar Amin, Kevin R. |
| author_facet | Sifat, Imtiaz Mohamma Mohamad, Azhar Amin, Kevin R. |
| author_sort | Sifat, Imtiaz Mohamma |
| building | IIUM Repository |
| collection | Online Access |
| description | In this paper, we utilize high-frequency 15-seconds intraday data from September 2018 through to August 2019 to investigate price leadership dynamics between futures and spot markets in Malaysia. We employ Maximal Overlap Discrete Wavelet Transform to evaluate interdependence between contemporaneous futures and spot returns spaced at 15 seconds. We observe that price discovery between futures and spot markets constitutes at granular level is a scale-dependent phenomenon. Moreover, we record a counter-intuitive but not unprecedented evidence of futures market lagging the spot market in price formation with the speed of adjustment approaching convergence in between 1-8 minutes. Our findings constitute evidence against the efficient market hypothesis and hint at arbitrageable opportunities, especially by high-frequency robots. Robustness checks via BEKK-GARCH and DCC-GARCH estimations yield no contradiction. |
| first_indexed | 2025-11-14T17:31:53Z |
| format | Proceeding Paper |
| id | iium-73881 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T17:31:53Z |
| publishDate | 2019 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-738812019-10-29T12:23:37Z http://irep.iium.edu.my/73881/ Price discovery between index futures and spot markets Sifat, Imtiaz Mohamma Mohamad, Azhar Amin, Kevin R. HG4501 Stocks, investment, speculation In this paper, we utilize high-frequency 15-seconds intraday data from September 2018 through to August 2019 to investigate price leadership dynamics between futures and spot markets in Malaysia. We employ Maximal Overlap Discrete Wavelet Transform to evaluate interdependence between contemporaneous futures and spot returns spaced at 15 seconds. We observe that price discovery between futures and spot markets constitutes at granular level is a scale-dependent phenomenon. Moreover, we record a counter-intuitive but not unprecedented evidence of futures market lagging the spot market in price formation with the speed of adjustment approaching convergence in between 1-8 minutes. Our findings constitute evidence against the efficient market hypothesis and hint at arbitrageable opportunities, especially by high-frequency robots. Robustness checks via BEKK-GARCH and DCC-GARCH estimations yield no contradiction. 2019-07-31 Proceeding Paper NonPeerReviewed application/pdf en http://irep.iium.edu.my/73881/1/MFA%202019%20KLCI%20FKLI%20%20Intraday%20%26%20Wavelet.pdf application/pdf en http://irep.iium.edu.my/73881/12/MFA%202019%20Presenttaion%20schedule.pdf Sifat, Imtiaz Mohamma and Mohamad, Azhar and Amin, Kevin R. (2019) Price discovery between index futures and spot markets. In: The 21st Malaysian Finance Association Conference 2019 (MFAC 2019), 31st July - 1st August 2019, Bandar Sunway, Selangor. (Unpublished) https://www.mfa.com.my/conference/mfac2019/ |
| spellingShingle | HG4501 Stocks, investment, speculation Sifat, Imtiaz Mohamma Mohamad, Azhar Amin, Kevin R. Price discovery between index futures and spot markets |
| title | Price discovery between index futures and spot markets |
| title_full | Price discovery between index futures and spot markets |
| title_fullStr | Price discovery between index futures and spot markets |
| title_full_unstemmed | Price discovery between index futures and spot markets |
| title_short | Price discovery between index futures and spot markets |
| title_sort | price discovery between index futures and spot markets |
| topic | HG4501 Stocks, investment, speculation |
| url | http://irep.iium.edu.my/73881/ http://irep.iium.edu.my/73881/ http://irep.iium.edu.my/73881/1/MFA%202019%20KLCI%20FKLI%20%20Intraday%20%26%20Wavelet.pdf http://irep.iium.edu.my/73881/12/MFA%202019%20Presenttaion%20schedule.pdf |