Structural Change and Lead-Lag Relationship between the Nikkei Spot Index and Futures Price: A Genetic Programming Approach

Author

Donald LIEN, University of Texas at San Antonio
Yiu Kuen TSE, Singapore Management UniversityFollow
X. B. CHANG, National University of Singapore

Publication Type

Working Paper

Publication Date

6-2002

Abstract

In this paper we adopt a nonparametric genetic programming approach to identify the structural changes in the Nikkei spot index and futures price. Due to the dominance of the “normal” period in sample size, the lead-lag relationship identified in the spot-futures system based on conventional methods such as test for Granger causality pertains to the normal period and may not be applicable in the “extreme” period. Using genetic programming 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 then spread over to the futures market.

Keywords

structural change, operating mechanism, genetic programming

Discipline

Econometrics

Research Areas

Econometrics

Citation

LIEN, Donald; TSE, Yiu Kuen; and CHANG, X. B.. Structural Change and Lead-Lag Relationship between the Nikkei Spot Index and Futures Price: A Genetic Programming Approach. (2002).
Available at: https://ink.library.smu.edu.sg/soe_research_all/4

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.