TY - JOUR
T1 - Price discovery and changes in regimes for stock index futures
AU - Chiang, Min Hsien
N1 - Copyright:
Copyright 2004 Elsevier B.V., All rights reserved.
PY - 2003/12
Y1 - 2003/12
N2 - In this paper, we propose a cointegration system that considers regime shifts in the stock index futures markets. Meanwhile, three such markets-the S&P, the CAC 40, and the Nikkei 225 index futures-are examined using the proposed model. The empirical evidence shows that the cointegration system with consideration of regime shifts performs better than the usual cointegration system without considering regime shifts. Moreover, the three futures markets exhibit different patterns for distinct regimes.
AB - In this paper, we propose a cointegration system that considers regime shifts in the stock index futures markets. Meanwhile, three such markets-the S&P, the CAC 40, and the Nikkei 225 index futures-are examined using the proposed model. The empirical evidence shows that the cointegration system with consideration of regime shifts performs better than the usual cointegration system without considering regime shifts. Moreover, the three futures markets exhibit different patterns for distinct regimes.
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U2 - 10.1016/j.gfj.2003.05.001
DO - 10.1016/j.gfj.2003.05.001
M3 - Article
AN - SCOPUS:0742306375
SN - 1044-0283
VL - 14
SP - 287
EP - 301
JO - Global Finance Journal
JF - Global Finance Journal
IS - 3
ER -