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The temporal price relationship between the stock index futures and the underlying stock index: evidence from Malaysia

The stock index futures was introduced in Malaysia in December 1995 with the launching of the futures contract on the Kuala Lumpur Stock Exchange Composite Index. Due to its recentness in the country, many issues pertaining to this equity derivatives instrument have not been explored. Thus, the deve...

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Main Authors: Abdullah, Mahdhir, Mohd Nasir, Annuar, Ramadilli Mohd, Shamsher Mohamad, Ahmed, Huson Joher Ali, Hassan, Taufiq
Format: Article
Language:English
Published: Universiti Putra Malaysia Press 2002
Online Access:http://psasir.upm.edu.my/id/eprint/3375/1/The_Temporal_Price_Relationship_between_the_Stock_Index_Futures_and.pdf
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spelling oai:psasir.upm.edu.my:3375 http://psasir.upm.edu.my/id/eprint/3375/ The temporal price relationship between the stock index futures and the underlying stock index: evidence from Malaysia Abdullah, Mahdhir Mohd Nasir, Annuar Ramadilli Mohd, Shamsher Mohamad Ahmed, Huson Joher Ali Hassan, Taufiq The stock index futures was introduced in Malaysia in December 1995 with the launching of the futures contract on the Kuala Lumpur Stock Exchange Composite Index. Due to its recentness in the country, many issues pertaining to this equity derivatives instrument have not been explored. Thus, the development of stock index futures opens many opportunities for research in this area. This study examines the temporal relationship between the price of the Kuala Lumpur Stock Exchange Composite Index futures contract (FKLI) and its underlying stock index, the Kuala Lumpur Stock Exchange Composite Index (KLSE CI). The five-year period under study is split into three subperiods to observe the price co-movement pattern under different volatility levels. The study finds that futures market tends to lead the spot market by one day during the periods of stable market, and there is a mixed lead-lag relationship between the two markets during the period of highly volatile market. Universiti Putra Malaysia Press 2002-03 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/3375/1/The_Temporal_Price_Relationship_between_the_Stock_Index_Futures_and.pdf Abdullah, Mahdhir and Mohd Nasir, Annuar and Ramadilli Mohd, Shamsher Mohamad and Ahmed, Huson Joher Ali and Hassan, Taufiq (2002) The temporal price relationship between the stock index futures and the underlying stock index: evidence from Malaysia. Pertanika Journal of Social Sciences & Humanities, 10 (1). pp. 73-84. ISSN 0128-7702; ESSN: 2231-8534 http://www.pertanika.upm.edu.my/view_archives.php?journal=JSSH-10-1-3
institution UPM IR
collection UPM IR
language English
description The stock index futures was introduced in Malaysia in December 1995 with the launching of the futures contract on the Kuala Lumpur Stock Exchange Composite Index. Due to its recentness in the country, many issues pertaining to this equity derivatives instrument have not been explored. Thus, the development of stock index futures opens many opportunities for research in this area. This study examines the temporal relationship between the price of the Kuala Lumpur Stock Exchange Composite Index futures contract (FKLI) and its underlying stock index, the Kuala Lumpur Stock Exchange Composite Index (KLSE CI). The five-year period under study is split into three subperiods to observe the price co-movement pattern under different volatility levels. The study finds that futures market tends to lead the spot market by one day during the periods of stable market, and there is a mixed lead-lag relationship between the two markets during the period of highly volatile market.
format Article
author Abdullah, Mahdhir
Mohd Nasir, Annuar
Ramadilli Mohd, Shamsher Mohamad
Ahmed, Huson Joher Ali
Hassan, Taufiq
spellingShingle Abdullah, Mahdhir
Mohd Nasir, Annuar
Ramadilli Mohd, Shamsher Mohamad
Ahmed, Huson Joher Ali
Hassan, Taufiq
The temporal price relationship between the stock index futures and the underlying stock index: evidence from Malaysia
author_facet Abdullah, Mahdhir
Mohd Nasir, Annuar
Ramadilli Mohd, Shamsher Mohamad
Ahmed, Huson Joher Ali
Hassan, Taufiq
author_sort Abdullah, Mahdhir
title The temporal price relationship between the stock index futures and the underlying stock index: evidence from Malaysia
title_short The temporal price relationship between the stock index futures and the underlying stock index: evidence from Malaysia
title_full The temporal price relationship between the stock index futures and the underlying stock index: evidence from Malaysia
title_fullStr The temporal price relationship between the stock index futures and the underlying stock index: evidence from Malaysia
title_full_unstemmed The temporal price relationship between the stock index futures and the underlying stock index: evidence from Malaysia
title_sort temporal price relationship between the stock index futures and the underlying stock index: evidence from malaysia
publisher Universiti Putra Malaysia Press
publishDate 2002
url http://psasir.upm.edu.my/id/eprint/3375/1/The_Temporal_Price_Relationship_between_the_Stock_Index_Futures_and.pdf
_version_ 1782717142414655488
score 12.935284

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