Price discovery between index futures and spot markets

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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...

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Bibliographic Details
Main Authors:	Sifat, Imtiaz Mohamma, Mohamad, Azhar, Amin, Kevin R.
Format:	Proceeding Paper
Language:	English English
Published:	2019
Subjects:	HG4501 Stocks, investment, speculation
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

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