Measuring the dynamic lead–lag relationship between the cash market and stock index futures market

This paper develops three new nonparametric and nonlinear measurements for the dynamic lead–lag relationship between stock index futures and the cash index based on the dynamic time warping algorithm: one point measurement (e.g, for one minute) and two interval measurements (e.g, for one day). The simulation experiment shows the satisfactory performance of our measurements. The empirical evidence suggests that the distribution of the lead–lag times of the CSI 300 index futures relative to the cash index is right skewed with high kurtosis, and the index futures usually lead the cash index by 0–5 min but occasionally lag the cash index. •We propose three measurements of lead–lag times between index futures and the spot.•Point measurement is efficient in capturing point lead–lag times at high frequency.•Interval measurements can gauge the average lead–lag times for a longer interval.•The distribution of lead–lag times is right skewed with high kurtosis.•The CSI 300 index futures usually lead the spot by 0–5 min.