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Diogo de Prince and Alexandre Monte
 
''What market (spot or future) reflects news first? An analysis in the frequency domain for Brazilian stock market''
( 2013, Vol. 33 No.3 )
 
 
What market (spot or future) reflects news first? This question is investigated with Granger causality and Breitung and Candelon (2006) causality test in the frequency domain for Brazilian stock market. The results differ depending on which index (ETF, exchange traded funds, or the spot index) is used for the spot market. The future market causes the index and ETF (for most of the frequency). But ETF only helps to predict future market for intraday operations in the very short term.
 
 
Keywords: Price discovery, futures market, spot market, frequency domain
JEL:
C3 - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
 
Manuscript Received : Apr 22 2013 Manuscript Accepted : Jul 11 2013

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