Study on the Lead and Lag Relationship Between the Kuala Lumpur Stock Exchange Composite Index Futures Contract and its Underlying Kuala Lumpur Stock Exchange Composite Index
The birth of the Kuala Lumpur Stock Exchange Composite Index futures contract (FKLI) in December 1 995 creates a lot of opportunities for research in the area of financial derivatives. This paper looks into the lead and lag relationship between the FKLI returns and the Kuala Lumpur Stock Exchange...
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| Format: | Thesis |
| Language: | English English |
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2001
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| Online Access: | http://psasir.upm.edu.my/id/eprint/7942/1/GSM_2001_12_.pdf |
| _version_ | 1825944303573139456 |
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| author | Abdullah, Mahdhir |
| author_facet | Abdullah, Mahdhir |
| author_sort | Abdullah, Mahdhir |
| collection | UPM |
| description | The birth of the Kuala Lumpur Stock Exchange Composite Index futures contract
(FKLI) in December 1 995 creates a lot of opportunities for research in the area of
financial derivatives. This paper looks into the lead and lag relationship between
the FKLI returns and the Kuala Lumpur Stock Exchange Composite Index (KLSE
CI) returns since the inception of the stock index futures trading in December 1 995
until December 2000. The five-year period is segmented into three subperiods to
see the lead-lag behaviour under different market volatility levels. The three
subperiods are: Subperiod 1 ) from inception to June 1 997, Subperiod 2) from July
1 997 to September 1 998, and Subperiod 3) from October 1 998 to December 2000.
The first subperiod reflects the period of stable prices and thin futures trading
volume, the second subperiod represents the period of highly volatile market and
huge futures trading volume, and the third subperiod reflects the period of
reasonably stable prices and fairly high trading volume. In this study, a multiple
regression model is used as the methodology to test for the lead and lag relationship between the stock index futures returns and KLSE CI returns. The
study finds that there is a strong contemporaneous relationship and there exists a
lead effect from the futures market to the spot market by one day in subperiods 1
and 3 . Subperiod 2 shows a mix lead-lag relationship between the two markets. For
the whole period under review, the relationship has been found to be ambiguous
and inconclusive. |
| first_indexed | 2024-03-06T07:13:43Z |
| format | Thesis |
| id | upm.eprints-7942 |
| institution | Universiti Putra Malaysia |
| language | English English |
| last_indexed | 2024-03-06T07:13:43Z |
| publishDate | 2001 |
| record_format | dspace |
| spelling | upm.eprints-79422023-11-22T03:17:44Z http://psasir.upm.edu.my/id/eprint/7942/ Study on the Lead and Lag Relationship Between the Kuala Lumpur Stock Exchange Composite Index Futures Contract and its Underlying Kuala Lumpur Stock Exchange Composite Index Abdullah, Mahdhir The birth of the Kuala Lumpur Stock Exchange Composite Index futures contract (FKLI) in December 1 995 creates a lot of opportunities for research in the area of financial derivatives. This paper looks into the lead and lag relationship between the FKLI returns and the Kuala Lumpur Stock Exchange Composite Index (KLSE CI) returns since the inception of the stock index futures trading in December 1 995 until December 2000. The five-year period is segmented into three subperiods to see the lead-lag behaviour under different market volatility levels. The three subperiods are: Subperiod 1 ) from inception to June 1 997, Subperiod 2) from July 1 997 to September 1 998, and Subperiod 3) from October 1 998 to December 2000. The first subperiod reflects the period of stable prices and thin futures trading volume, the second subperiod represents the period of highly volatile market and huge futures trading volume, and the third subperiod reflects the period of reasonably stable prices and fairly high trading volume. In this study, a multiple regression model is used as the methodology to test for the lead and lag relationship between the stock index futures returns and KLSE CI returns. The study finds that there is a strong contemporaneous relationship and there exists a lead effect from the futures market to the spot market by one day in subperiods 1 and 3 . Subperiod 2 shows a mix lead-lag relationship between the two markets. For the whole period under review, the relationship has been found to be ambiguous and inconclusive. 2001 Thesis NonPeerReviewed text en http://psasir.upm.edu.my/id/eprint/7942/1/GSM_2001_12_.pdf Abdullah, Mahdhir (2001) Study on the Lead and Lag Relationship Between the Kuala Lumpur Stock Exchange Composite Index Futures Contract and its Underlying Kuala Lumpur Stock Exchange Composite Index. Masters thesis, Universiti Putra Malaysia. Stock exchanges - Malaysia. English |
| spellingShingle | Stock exchanges - Malaysia. Abdullah, Mahdhir Study on the Lead and Lag Relationship Between the Kuala Lumpur Stock Exchange Composite Index Futures Contract and its Underlying Kuala Lumpur Stock Exchange Composite Index |
| title | Study on the Lead and Lag Relationship Between the Kuala Lumpur Stock Exchange Composite Index Futures Contract and its Underlying Kuala Lumpur Stock Exchange Composite Index |
| title_full | Study on the Lead and Lag Relationship Between the Kuala Lumpur Stock Exchange Composite Index Futures Contract and its Underlying Kuala Lumpur Stock Exchange Composite Index |
| title_fullStr | Study on the Lead and Lag Relationship Between the Kuala Lumpur Stock Exchange Composite Index Futures Contract and its Underlying Kuala Lumpur Stock Exchange Composite Index |
| title_full_unstemmed | Study on the Lead and Lag Relationship Between the Kuala Lumpur Stock Exchange Composite Index Futures Contract and its Underlying Kuala Lumpur Stock Exchange Composite Index |
| title_short | Study on the Lead and Lag Relationship Between the Kuala Lumpur Stock Exchange Composite Index Futures Contract and its Underlying Kuala Lumpur Stock Exchange Composite Index |
| title_sort | study on the lead and lag relationship between the kuala lumpur stock exchange composite index futures contract and its underlying kuala lumpur stock exchange composite index |
| topic | Stock exchanges - Malaysia. |
| url | http://psasir.upm.edu.my/id/eprint/7942/1/GSM_2001_12_.pdf |
| work_keys_str_mv | AT abdullahmahdhir studyontheleadandlagrelationshipbetweenthekualalumpurstockexchangecompositeindexfuturescontractanditsunderlyingkualalumpurstockexchangecompositeindex |