Structural Change and Lead-Lag Relationship between the Nikkei Spot Index and Furure's Price: A Genetic Programming Approach
Publication Type
Journal Article
Publication Date
2003
Abstract
In this paper we adopt a nonparametric genetic programming (GP) approach to identify the structural changes in the Nikkei spot index and futures price. Due to the dominance of the ‘normal’ period in sample data, the lead-lag relationship identified in the spot-futures system based on conventional methods such as the test for Granger causality pertains to the normal period and may not be applicable in an ‘extreme’ period. Using GP we identify the lead-lag relationship based on the chronological ordering of the structural changes in the spot and futures markets. Our results show that in recent periods, major market changes originated from the spot market and spread over to the futures market.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Quantitative Finance
Volume
3
Issue
2
First Page
136
Last Page
144
ISSN
1469-7688
Identifier
10.1088/1469-7688/3/2/307
Publisher
Institute of Physics
Citation
Lien, Donald; TSE, Yiu Kuen; and ZHANG, Xibin.
Structural Change and Lead-Lag Relationship between the Nikkei Spot Index and Furure's Price: A Genetic Programming Approach. (2003). Quantitative Finance. 3, (2), 136-144.
Available at: https://ink.library.smu.edu.sg/soe_research/517
Additional URL
https://doi.org/10.1088/1469-7688/3/2/307