The Dynamics of Stock Index and Stock Index Futures Returns

In rational, efficiently functioning markets, the returns on stock index and stock index futures contracts should be perfectly, contemporaneously correlated. This study investigates the time series properties of 5-minute, intraday returns of stock index and stock index futures contracts, and finds that SP however, the effect is not completely unidirectional, with lagged stock index returns having a mild positive predictive impact on futures returns.

[1]  C. Granger.  Investigating Causal Relations by Econometric Models and Cross-Spectral Methods , 1969 .

[2]  Larry D. Haugh,et al.  Causality in temporal systems: Characterization and a survey , 1977 .

[3]  A. Mackinlay,et al.  Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices , 1988 .

[4]  H. Stoll,et al.  Stock Market Structure and Volatility , 1990 .

[5]  E. Dimson.  Risk measurement when shares are subject to infrequent trading , 1979 .

[6]  R. Roll,et al.  A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market , 2008 .

[7]  A. Lo,et al.  Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test , 1987 .

[8]  Hans R. Stoll,et al.  Transaction costs and the small firm effect , 1983 .

[9]  Robert E. Whaley,et al.  Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets , 1990 .

[10]  Hans R. Stoll,et al.  Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests , 1989 .

[11]  Myron S. Scholes,et al.  Estimating betas from nonsynchronous data , 1977 .

[12]  L. Harris.  The October 1987 S&P 500 Stock‐Futures Basis , 1989 .

[13]  H. Stoll,et al.  Program Trading and Expiration-Day Effects , 1987 .

[14]  C. Sims.  Money, Income, and Causality , 1972 .

[15]  Lawrence Fisher,et al.  Some New Stock-Market Indexes , 1966 .

[16]  Kalman J. Cohen,et al.  The Microstructure of Securities Markets , 1986 .

[17]  Dennis E. Logue,et al.  Foundations of Finance. , 1977 .

[18]  R. Engle.  Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .