The Impact of Sampling Frequency on Intraday Correlation and Lead–Lag Relationships Between Index Futures and Individual Stocks

Joseph Kwun Wing Fung; Francis Lau; Yiuman Tse

doi:10.1002/fut.21715

The Impact of Sampling Frequency on Intraday Correlation and Lead–Lag Relationships Between Index Futures and Individual Stocks

Joseph Kwun Wing Fung, Francis Lau, Yiuman Tse

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	Journal of Futures Markets
Volume	35
DOIs	https://doi.org/10.1002/fut.21715
State	Published - Jan 10 2015

Disciplines

Economics
Finance

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10.1002/fut.21715License: Unspecified

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author = "Fung, \{Joseph Kwun Wing\} and Francis Lau and Yiuman Tse",

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AU - Fung, Joseph Kwun Wing

AU - Lau, Francis

AU - Tse, Yiuman

N1 - Enter your email address below. If your address has been previously registered, you will receive an email with instructions on how to reset your password. If you don't receive an email, you should register as a new user

PY - 2015/1/10

Y1 - 2015/1/10

UR - http://onlinelibrary.wiley.com/doi/10.1002/fut.21715/abstract

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VL - 35

JO - Journal of Futures Markets

JF - Journal of Futures Markets

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The Impact of Sampling Frequency on Intraday Correlation and Lead–Lag Relationships Between Index Futures and Individual Stocks

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