{"id":"https://openalex.org/W2928638055","doi":"https://doi.org/10.1016/j.physa.2019.04.056","title":"The linear and nonlinear lead\u2013lag relationship among three SSE 50 Index markets: The index futures, 50ETF spot and options markets","display_name":"The linear and nonlinear lead\u2013lag relationship among three SSE 50 Index markets: The index futures, 50ETF spot and options markets","publication_year":2019,"publication_date":"2019-04-05","ids":{"openalex":"https://openalex.org/W2928638055","doi":"https://doi.org/10.1016/j.physa.2019.04.056","mag":"2928638055"},"language":"en","primary_location":{"id":"doi:10.1016/j.physa.2019.04.056","doi":"https://doi.org/10.1016/j.physa.2019.04.056","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.physa.2019.04.056","pdf_url":null,"source":{"id":"https://openalex.org/S24688465","display_name":"Physica A Statistical Mechanics and its Applications","issn_l":"0378-4371","issn":["0378-4371","1873-2119"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","cwts-core","dongbi-b","jufo-1","ki-jl-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Physica A: Statistical Mechanics and its Applications","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Tao Jiang","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I66867065","display_name":"East China Normal University","ror":"https://ror.org/02n96ep67","country_code":"CN","type":"education","lineage":["https://openalex.org/I66867065"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Tao Jiang","raw_affiliation_strings":["School of Statistics, East China Normal University, Dongchuan Road, Shanghai 200241, PR China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Statistics, East China Normal University, Dongchuan Road, Shanghai 200241, PR China","institution_ids":["https://openalex.org/I66867065"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5055433471","display_name":"Si Bao","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I66867065","display_name":"East China Normal University","ror":"https://ror.org/02n96ep67","country_code":"CN","type":"education","lineage":["https://openalex.org/I66867065"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Si Bao","raw_affiliation_strings":["School of Statistics, East China Normal University, Dongchuan Road, Shanghai 200241, PR China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Statistics, East China Normal University, Dongchuan Road, Shanghai 200241, PR China","institution_ids":["https://openalex.org/I66867065"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101420032","display_name":"Long Li","orcid":"https://orcid.org/0000-0002-7013-3728","observed_orcids":["https://orcid.org/0000-0002-7013-3728"]},"institutions":[{"id":"https://openalex.org/I66867065","display_name":"East China Normal University","ror":"https://ror.org/02n96ep67","country_code":"CN","type":"education","lineage":["https://openalex.org/I66867065"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Long Li","raw_affiliation_strings":["School of Statistics, East China Normal University, Dongchuan Road, Shanghai 200241, PR China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Statistics, East China Normal University, Dongchuan Road, Shanghai 200241, PR China","institution_ids":["https://openalex.org/I66867065"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5101420032"],"corresponding_institution_ids":["https://openalex.org/I66867065"],"apc_list":{"value":2800,"currency":"USD","value_usd":2800},"apc_paid":null,"fwci":4.172,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.93570211,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"525","issue":null,"first_page":"878","last_page":"893"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.3659999966621399,"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":0.3659999966621399,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.2863999903202057,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.17550000548362732,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/lead-lag-relationship","display_name":"lead-lag relationship","score":0.9869999885559082},{"id":"https://openalex.org/keywords/granger-causality","display_name":"Granger causality","score":0.7929999828338623},{"id":"https://openalex.org/keywords/nonlinear-causality","display_name":"nonlinear causality","score":0.9319999814033508},{"id":"https://openalex.org/keywords/options-market","display_name":"options market","score":0.6290000081062317},{"id":"https://openalex.org/keywords/high-frequency-data","display_name":"high-frequency data","score":0.7400000095367432},{"id":"https://openalex.org/keywords/shanghai-stock-exchange","display_name":"Shanghai Stock Exchange","score":0.6330000162124634}],"concepts":[{"id":"https://openalex.org/C129824826","wikidata":"https://www.wikidata.org/wiki/Q2630107","display_name":"Granger causality","level":2,"score":0.8907284736633301},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.7649823427200317},{"id":"https://openalex.org/C186487364","wikidata":"https://www.wikidata.org/wiki/Q6508813","display_name":"Lead\u2013lag compensator","level":2,"score":0.7535015344619751},{"id":"https://openalex.org/C75778745","wikidata":"https://www.wikidata.org/wiki/Q342626","display_name":"Lag","level":2,"score":0.7359390258789062},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7356911897659302},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5503137707710266},{"id":"https://openalex.org/C102366305","wikidata":"https://www.wikidata.org/wiki/Q1097688","display_name":"Nonparametric statistics","level":2,"score":0.5498195290565491},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.5458467602729797},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.30302920937538147},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.23932871222496033},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.09518438577651978},{"id":"https://openalex.org/C133731056","wikidata":"https://www.wikidata.org/wiki/Q4917288","display_name":"Control engineering","level":1,"score":0.0},{"id":"https://openalex.org/C31258907","wikidata":"https://www.wikidata.org/wiki/Q1301371","display_name":"Computer network","level":1,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.physa.2019.04.056","doi":"https://doi.org/10.1016/j.physa.2019.04.056","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.physa.2019.04.056","pdf_url":null,"source":{"id":"https://openalex.org/S24688465","display_name":"Physica A Statistical Mechanics and its Applications","issn_l":"0378-4371","issn":["0378-4371","1873-2119"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","cwts-core","dongbi-b","jufo-1","ki-jl-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Physica A: Statistical Mechanics and its Applications","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:phsmap:v:525:y:2019:i:c:p:878-893","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0378437119304352","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"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W1587141723","https://openalex.org/W1713980409","https://openalex.org/W1910071586","https://openalex.org/W1974380857","https://openalex.org/W1975994995","https://openalex.org/W1977480757","https://openalex.org/W1988359375","https://openalex.org/W2000538464","https://openalex.org/W2032207494","https://openalex.org/W2034707435","https://openalex.org/W2049239673","https://openalex.org/W2075194507","https://openalex.org/W2092723532","https://openalex.org/W2109625735","https://openalex.org/W2110603299","https://openalex.org/W2118777200","https://openalex.org/W2145339411","https://openalex.org/W2153562738","https://openalex.org/W2154553965","https://openalex.org/W2166900286","https://openalex.org/W2178225550","https://openalex.org/W2585391264","https://openalex.org/W2752204129","https://openalex.org/W2887762817","https://openalex.org/W2941171546","https://openalex.org/W2952487919","https://openalex.org/W6639899643"],"related_works":["https://openalex.org/W1918830231","https://openalex.org/W2211507477","https://openalex.org/W1713980409","https://openalex.org/W7213622173","https://openalex.org/W1591777798","https://openalex.org/W3027664911","https://openalex.org/W1964517821","https://openalex.org/W2294764237","https://openalex.org/W2887762817","https://openalex.org/W2114355841"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":6}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2019-04-11T00:00:00"}