摘要
Thispaperinvestigatesthelead-lagrelationshipbetweenthestockindexfutures(knownasFKLI)anditsunderlyingindex,theKualaLumpurCompositeIndex(KLCI)intheemergingMalaysianmarket.Using15-secondintervaldata,cross-correlation,andthepartialadjustmentmodel,wefindabi-directionalasymmetriclead-lagrelationshipandthattheKLCI’sleadoverFKLIismuchstronger.TheevidencealsosuggeststhattheKLCIreturnsover-reacttoinformation,moresooncethintradingeffectsareconsidered.Overall,theevidencessuggestthattradersprefertoexploitstockspecificinformationintheunderlyingmarketdespitetheadvantagesoftradingtheindexfutures.
出版日期
2018年10月20日（中国期刊网平台首次上网日期，不代表论文的发表时间）
