{"id":"https://openalex.org/W2092562006","doi":"https://doi.org/10.1111/1468-5957.05409","title":"Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis","display_name":"Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis","publication_year":2003,"publication_date":"2003-06-01","ids":{"openalex":"https://openalex.org/W2092562006","doi":"https://doi.org/10.1111/1468-5957.05409","mag":"2092562006"},"language":"en","primary_location":{"id":"doi:10.1111/1468-5957.05409","doi":"https://doi.org/10.1111/1468-5957.05409","is_oa":true,"landing_page_url":"https://doi.org/10.1111/1468-5957.05409","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/1468-5957.05409","source":{"id":"https://openalex.org/S48254654","display_name":"Journal of Business Finance &amp Accounting","issn_l":"0306-686X","issn":["0306-686X","1468-5957"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Business Finance &amp; Accounting","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/1468-5957.05409","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5103527998","display_name":"Antonios Antoniou","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I190082696","display_name":"Durham University","ror":"https://ror.org/01v29qb04","country_code":"GB","type":"education","lineage":["https://openalex.org/I190082696"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Antonios Antoniou","raw_affiliation_strings":["A. Antoniou, Centre for Empirical Research in Finance (CERF), Department of Economics and Finance, University of Durham, 23-26 Old Elvet, Durham DH1 3HY, UK. e-mail:","Durham University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"A. Antoniou, Centre for Empirical Research in Finance (CERF), Department of Economics and Finance, University of Durham, 23-26 Old Elvet, Durham DH1 3HY, UK. e-mail:","institution_ids":["https://openalex.org/I190082696"]},{"raw_affiliation_string":"Durham University","institution_ids":["https://openalex.org/I190082696"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5086100378","display_name":"Gioia Pescetto","orcid":"https://orcid.org/0000-0002-7861-6804","observed_orcids":["https://orcid.org/0000-0002-7861-6804"]},"institutions":[{"id":"https://openalex.org/I190082696","display_name":"Durham University","ror":"https://ror.org/01v29qb04","country_code":"GB","type":"education","lineage":["https://openalex.org/I190082696"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Gioia Pescetto","raw_affiliation_strings":["Centre for Empirical Research in Finance (CERF) , Department of Economics and Finance , University of Durham , 23-26 Old Elvet , Durham DH1 3HY , UK","Garsington Road , Oxford OX4 2DQ , UK and 350 Main Street , Malden , MA 02148 , USA","Faculty of Business & Law"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Centre for Empirical Research in Finance (CERF) , Department of Economics and Finance , University of Durham , 23-26 Old Elvet , Durham DH1 3HY , UK","institution_ids":["https://openalex.org/I190082696"]},{"raw_affiliation_string":"Garsington Road , Oxford OX4 2DQ , UK and 350 Main Street , Malden , MA 02148 , USA","institution_ids":[]},{"raw_affiliation_string":"Faculty of Business & Law","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5006443336","display_name":"Antonis Violaris","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I190082696","display_name":"Durham University","ror":"https://ror.org/01v29qb04","country_code":"GB","type":"education","lineage":["https://openalex.org/I190082696"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Antonis Violaris","raw_affiliation_strings":["* The authors are from the Centre for Empirical Research in Finance, University of Durham. They are grateful to participants at Inquire (Europe and UK) Seminar and EFMA Conference and an anonymous referee for useful comments on earlier drafts of the paper. (Paper received September 2001, revised and accepted April 2002)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"* The authors are from the Centre for Empirical Research in Finance, University of Durham. They are grateful to participants at Inquire (Europe and UK) Seminar and EFMA Conference and an anonymous referee for useful comments on earlier drafts of the paper. (Paper received September 2001, revised and accepted April 2002)","institution_ids":["https://openalex.org/I190082696"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5103527998"],"corresponding_institution_ids":["https://openalex.org/I190082696"],"apc_list":{"value":3800,"currency":"USD","value_usd":3800},"apc_paid":null,"fwci":3.3024,"has_fulltext":true,"cited_by_count":61,"citation_normalized_percentile":{"value":0.92802212,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"30","issue":"5-6","first_page":"645","last_page":"667"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9419000148773193,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9419000148773193,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.05009999871253967,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.007000000216066837,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stock-index-futures","display_name":"stock index futures","score":0.9769999980926514},{"id":"https://openalex.org/keywords/volatility-spillovers","display_name":"volatility spillovers","score":0.7799999713897705},{"id":"https://openalex.org/keywords/lead-lag-relationship","display_name":"lead-lag relationship","score":0.8640000224113464},{"id":"https://openalex.org/keywords/hedging","display_name":"hedging","score":0.8489999771118164},{"id":"https://openalex.org/keywords/diversification","display_name":"diversification","score":0.9020000100135803},{"id":"https://openalex.org/keywords/european-stock-markets","display_name":"European stock markets","score":0.7179999947547913},{"id":"https://openalex.org/keywords/france","display_name":"France","score":0.9390000104904175},{"id":"https://openalex.org/keywords/germany","display_name":"Germany","score":1.0},{"id":"https://openalex.org/keywords/united-kingdom","display_name":"United Kingdom","score":0.9900000095367432}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.7842006087303162},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.6943032741546631},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6798965930938721},{"id":"https://openalex.org/C185874996","wikidata":"https://www.wikidata.org/wiki/Q269699","display_name":"Interdependence","level":2,"score":0.6164628863334656},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.6020544767379761},{"id":"https://openalex.org/C2993390347","wikidata":"https://www.wikidata.org/wiki/Q905615","display_name":"Stock index futures","level":5,"score":0.5949498414993286},{"id":"https://openalex.org/C52837651","wikidata":"https://www.wikidata.org/wiki/Q5473279","display_name":"Forward market","level":3,"score":0.5559216737747192},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5181561708450317},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5171258449554443},{"id":"https://openalex.org/C128694398","wikidata":"https://www.wikidata.org/wiki/Q7231722","display_name":"Portfolio insurance","level":5,"score":0.4609862267971039},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.45570123195648193},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4551427960395813},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.37630167603492737},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.25424614548683167},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.21298304200172424},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.1745922863483429},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.12086561322212219},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1111/1468-5957.05409","doi":"https://doi.org/10.1111/1468-5957.05409","is_oa":true,"landing_page_url":"https://doi.org/10.1111/1468-5957.05409","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/1468-5957.05409","source":{"id":"https://openalex.org/S48254654","display_name":"Journal of Business Finance &amp Accounting","issn_l":"0306-686X","issn":["0306-686X","1468-5957"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Business Finance &amp; Accounting","raw_type":"journal-article"},{"id":"pmh:oai:dro.dur.ac.uk.OAI2:2315","doi":null,"is_oa":false,"landing_page_url":"http://dro.dur.ac.uk/2315/","pdf_url":null,"source":{"id":"https://openalex.org/S4306400188","display_name":"Durham Research Online (Durham University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I190082696","host_organization_name":"Durham University","host_organization_lineage":["https://openalex.org/I190082696"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":"Journal of business finance &amp; accounting, 2003, Vol.30(5-6), pp.645-667 [Peer Reviewed Journal]","raw_type":"Article"},{"id":"pmh:oai:RePEc:bla:jbfnac:v:30:y:2003-06:i:5-6:p:645-667","doi":null,"is_oa":false,"landing_page_url":"http://www.blackwell-synergy.com/doi/abs/10.1111/1468-5957.05409","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:durham-repository.worktribe.com:1625167","doi":null,"is_oa":false,"landing_page_url":"https://durham-repository.worktribe.com/output/1625167","pdf_url":null,"source":{"id":"https://openalex.org/S4306400188","display_name":"Durham Research Online (Durham University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I190082696","host_organization_name":"Durham University","host_organization_lineage":["https://openalex.org/I190082696"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Journal Article"},{"id":"pmh:oai:https://durham-repository.worktribe.com/:1625167","doi":null,"is_oa":true,"landing_page_url":"https://durham-repository.worktribe.com/output/1625167","pdf_url":null,"source":{"id":"https://openalex.org/S4306400188","display_name":"Durham Research Online (Durham University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I190082696","host_organization_name":"Durham University","host_organization_lineage":["https://openalex.org/I190082696"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Journal Article"}],"best_oa_location":{"id":"doi:10.1111/1468-5957.05409","doi":"https://doi.org/10.1111/1468-5957.05409","is_oa":true,"landing_page_url":"https://doi.org/10.1111/1468-5957.05409","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/1468-5957.05409","source":{"id":"https://openalex.org/S48254654","display_name":"Journal of Business Finance &amp Accounting","issn_l":"0306-686X","issn":["0306-686X","1468-5957"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Business Finance &amp; Accounting","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.550000011920929,"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2092562006.pdf","grobid_xml":"https://content.openalex.org/works/W2092562006.grobid-xml"},"referenced_works_count":34,"referenced_works":["https://openalex.org/W1522592437","https://openalex.org/W1576326745","https://openalex.org/W1963830889","https://openalex.org/W1966471801","https://openalex.org/W1967336851","https://openalex.org/W1973277130","https://openalex.org/W1973921319","https://openalex.org/W1976902195","https://openalex.org/W1982807538","https://openalex.org/W1995352199","https://openalex.org/W1998843993","https://openalex.org/W2003626215","https://openalex.org/W2004421184","https://openalex.org/W2016981818","https://openalex.org/W2021441834","https://openalex.org/W2025899806","https://openalex.org/W2033469922","https://openalex.org/W2054255599","https://openalex.org/W2062207105","https://openalex.org/W2063593194","https://openalex.org/W2073740083","https://openalex.org/W2075194507","https://openalex.org/W2076632931","https://openalex.org/W2081085020","https://openalex.org/W2088697702","https://openalex.org/W2091358667","https://openalex.org/W2118777200","https://openalex.org/W2127223208","https://openalex.org/W2132503921","https://openalex.org/W2149908462","https://openalex.org/W2151743685","https://openalex.org/W2891540749","https://openalex.org/W3121818550","https://openalex.org/W6821684770"],"related_works":["https://openalex.org/W7020725219","https://openalex.org/W2625767843","https://openalex.org/W3125322594","https://openalex.org/W2470983235","https://openalex.org/W2034625692","https://openalex.org/W3215184586","https://openalex.org/W7095884437","https://openalex.org/W2746620666","https://openalex.org/W2734563065","https://openalex.org/W2037891225"],"abstract_inverted_index":{"This":[0],"paper":[1,60,88,125,147],"addresses":[2],"the":[3,21,31,43,59,67,76,87,106,120,124,135,146,164],"important":[4],"relationship":[5,23,69],"between":[6,41,70,105,139],"stock":[7,10,90,93,107],"index":[8,11,91,94],"and":[9,35,51,72,92,102,108,119,161,168],"futures":[12,73,95,109],"markets":[13,74,110],"in":[14,75,134],"an":[15],"international":[16,79],"context.":[17],"By":[18],"simply":[19],"examining":[20],"spot\u2010futures":[22],"within":[24],"a":[25,83],"single":[26],"country":[27],"as":[28],"most":[29],"of":[30,45,58,66,78,111,145],"extant":[32],"literature":[33],"does":[34],"thus":[36,52],"ignoring":[37],"possible":[38],"market":[39,80,96,155],"interdependencies":[40],"countries,":[42,115],"dynamics":[44],"price":[46],"adjustments":[47],"may":[48,132],"be":[49],"misspecified":[50],"findings":[53],"misleading.":[54],"The":[55,142],"main":[56,113,143],"contribution":[57],"is":[61,99],"to":[62,152,159],"improve":[63],"our":[64],"understanding":[65],"pricing":[68],"spot":[71],"light":[77],"interdependencies.":[81],"Using":[82],"multivariate":[84],"VAR\u2010EGARCH":[85],"methodology,":[86],"investigates":[89],"interdependence,":[97],"that":[98,131,149],"lead\u2010lag":[100],"relationships":[101],"volatility":[103,136],"interactions":[104,156],"three":[112],"European":[114],"namely":[116],"France,":[117],"Germany":[118],"UK.":[121],"In":[122],"addition,":[123],"explicitly":[126],"accounts":[127],"for":[128,154,166],"potential":[129,165],"asymmetries":[130],"exist":[133],"transmission":[137],"mechanism":[138],"these":[140],"markets.":[141],"conclusions":[144],"imply":[148],"investors":[150],"need":[151],"account":[153],"across":[157],"countries":[158],"fully":[160],"correctly":[162],"exploit":[163],"hedging":[167],"diversification.":[169]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":10},{"year":2012,"cited_by_count":5}],"updated_date":"2026-10-22T09:42:04.148104","created_date":"2016-06-24T00:00:00"}
