This study investigates cointegration between monthly housing prices from one hundred
Chinese cities for years 2010–2019, utilising both time-invariant and time-varying …

Using high‐frequency data, this study investigates intraday price discovery and volatility
transmission between the Chinese stock index and the newly established stock index …

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

This study examines the Fish Pool salmon futures contract with respect to how well the
market performs in terms of the futures price being an unbiased estimator of the spot price …

Using prices from 182 cash markets from seven states and the Chicago Board of Trade
futures, we investigate cointegration and price discovery for corn. Analysis based on cash …

Recent papers that have explored spot and futures markets for Bitcoin have concluded that
price discovery takes place either in the spot, or the futures market. Here, we consider the …

We utilize the respective information share and common factor component weight
approaches of Hasbrouck (1995) and Gonzalo and Granger (1995) to examine price …

This study investigates whether a lead–lag relationship exists between the spot market and
the futures market in Thailand during the period 2006 through 2012. In a rational, efficient …

This paper considers CSI 300 Index futures and the underlying index from April 2010 to
December 2018 based on high frequency data to test the price discovery function and …

The linkages between crude oil spot and futures markets are widely studied in previous
literatures. Most of these conventional methods are static, linear and parametric. In order to …