Testing lead-lag effect and cointegration between FTSE 100 Index and its futures

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Testing lead-lag effect and cointegration between FTSE 100 Index and its futures

Abstract This dissertation conducted a literature review on three areas: cointegration theory, the development of empirical cointegration studies, lead-lag relationship in spot market indices and future markets, and the spot-future cointegration. In the section, various markets have been examined an...

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Bibliographic Details
Main Author:	huang, lin
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2008
Online Access:	https://eprints.nottingham.ac.uk/21887/

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