This paper examines the lead-lag relationship between futures and spot markets in Greece. For both available stock index futures contracts (FTSE/ASE-20 and FTSE/ASE Mid 40) of the Athens Derivatives Exchange (ADEX), we employ a Bivariate GARCH model to explain price discovery of futures market over the crisis period 1999 to 2001. Empirical results confirm that futures market plays a price discovery role, implying that futures prices contain useful information about spot prices (in line with similar findings in the literature). These findings are helpful to financial managers and traders dealing with Greek stock index futures.
|Number of pages||7|
|Journal||International Research Journal of Finance and Economics|
|Publication status||Published - 2007|