Lead-lag relationship between the Nikkei 225 stock index and stock index futures

92 p.Our study focuses on the lead-lag relationship between the spot index and futures price of the Nikkei 225 Stock Average. We seek to examine the adherence of the behaviour of both spot and futures prices to the theory that both markets would simultaneously impound any new information. We also seek to determine if movement in any of the market will provide predictive information with regard to subsequent price movements in the other market.BUSINES