01377nas a2200181   4500008004100000245007600041210006900117260000900186300001600195490000700211520077900218653002300997100001801020700001701038700001901055700001601074856010501090       2017                        eng d00aThe Lead-Lag Relationship between the Spot and Futures Markets in China0 aLeadLag Relationship between the Spot and Futures Markets in Chi  c2017  a1447–14560 v173 aBased on daily and one-minute high-frequency returns, this paper examines the<br>lead-lag dependence between the CSI 300 index spot and futures markets from 2010 to 2014. The<br>nonparametric and nonlinear thermal optimal path method is adopted. Empirical results of the<br>daily data indicate that the lead-lag relationship between the two markets is within one day but<br>this relationship is volatile since neither of the two possible situations (the futures leads or lags<br>behind the spot market) takes a dominant place. Besides, our results from high-frequency data<br>demonstrate that there is a price discovery in the Chinese futures market: the intraday one-minute<br>futures return leads the cash return by 0~5 minutes regardless of the price trend of the market.10aBusiness Analytics1 aWang, Donghua1 aTu, Jingqing1 aChang, Xiaohui1 aLi, Saiping  u/biblio/lead-lag-relationship-between-spot-and-futures-markets-china