This paper investigates the intraday lead-lag relation between returns of KOSPI 200 and returns of index futures. Empirical results show strong evidence that the futures leads the cash index. The asymmetric lead-lag relation holds between the futures and all component socks, including those that trade in almost every five-minute interval. The difference of lead-lag relation under good news and bad news is examined. The evidence indicates that there is a stronger tendency for the futures to lead the cash index under bad news than under good news. In brief, the futures market is faster in updating prices and disseminates that information into the cash market.
