This paper investigates lead-lag relationship between heavyweight cryptocurrencies Bitcoin
and Ethereum. Traditional studies of information flow between markets preponderate on …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

This study examines the role of investor sentiment in the pricing dynamics between the spot
and futures markets. The empirical evidence suggests that investor sentiment has a positive …

By using the daily data for spot and future prices for India, we examine the frequency-
dependent asymmetric relationship between futures and spot markets of crude oil, gold, and …

Which market impounds new information faster into prices, the index futures market or the
spot market? Transaction costs are lower in the futures market. Given that the magnitude of …

We investigate the strategic order‐splitting behavior and order aggressiveness of different
types of traders using a unique dataset on the Taiwan Futures Exchange. By examining the …

This paper investigates the effects of the long-run relationship between stock cash index and
futures index on the hedging effectiveness of six stock futures markets. Effectiveness of five …

Using 5-min intraday transaction prices, this study investigates the relationship between the
National Stock Exchange (NSE) S&P CNX Nifty futures and its underlying spot index in …

The area of derivatives is arguably the most fascinating area within financial economics
during the past thirty years. This chapter reviews the evolution of derivatives contract …

We examine the impact of the global component of sentiment on the price return and
volatility of 25 major futures market indices across the globe, during the Covid-19 pandemic …