Ren Fei, Cai Mei-Ling, Li Sai-Ping, Xiong Xiong, Chen Zhang-HangJian
Present Address: School of Business, East China University of Science and Technology, 130 Meilong Road, P.O. Box 114, Shanghai, 200237 China.
Research Center for Econophysics, East China University of Science and Technology, Shanghai, 200237 China.
Comput Econ. 2023;62(1):1-28. doi: 10.1007/s10614-022-10268-0. Epub 2022 May 14.
Using 1-min data, we explore the dynamic variation of the intraday lead-lag relations between stock indices and their derivatives through a comprehensive study with broader coverage of research objectives and methodologies. This paper provides explicit evidence that the futures and options exhibit price leadership over the spot market, and the options is ahead of the futures on most trading days in all three markets. This paper also reports a new finding that the relation between the derivative and its underlying index reverses when the index return has a significantly larger mean value, and the reversal phenomenon is also observed in the relations between the futures and the options, which enriches the empirical results of intraday lead-lag relations. Moreover, these conclusions still hold under the impact of extreme events, e.g., the outbreak of the Covid-19. Finally, we construct a pair trading strategy based on the intraday lead-lag relationships, which can get better performance than the corresponding spot index. Our findings can potentially help regulators understand the price discovery process between the index and its derivatives, and also be of great value for timely adjustment of investors intraday trading strategies.
利用1分钟数据，我们通过更广泛的研究目标和方法覆盖范围进行全面研究，探讨股票指数与其衍生品之间日内领先滞后关系的动态变化。本文提供了明确证据，表明期货和期权对现货市场具有价格引领作用，并且在所有三个市场的大多数交易日中，期权领先于期货。本文还报告了一项新发现，即当指数收益率的均值显著更大时，衍生品与其标的指数之间的关系会发生反转，并且在期货与期权之间的关系中也观察到了反转现象，这丰富了日内领先滞后关系的实证结果。此外，这些结论在极端事件（如新冠疫情爆发）的影响下仍然成立。最后，我们基于日内领先滞后关系构建了一个配对交易策略，该策略能够获得比相应现货指数更好的表现。我们的研究结果可能有助于监管机构理解指数与其衍生品之间的价格发现过程，并且对于投资者日内交易策略的及时调整也具有重要价值。
