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- Title
The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index.
- Authors
KAWALLER, IRA G.; KOCH, PAUL D.; KOCH, TIMOTHY W.
- Abstract
This paper empirically examines the intraday price relationship between S&P 500 futures and the S&P 500 index using minute-to-minute data. Three-stage least-squares regression is used to estimate lead and lag relationships with estimates for expiration days of the S&P 500 futures compared with estimates for days prior to expiration. The results suggest that futures price movements consistently lead index movements by twenty to forty-five minutes while movements in the index rarely affect futures beyond one minute.
- Subjects
STOCK price indexes; STANDARD &; Poor's 500 Index; STOCK index futures; FUTURES; FUTURES market; FINANCIAL futures; STOCK prices; ECONOMIC indicators; ECONOMIC statistics; ECONOMIC forecasting; STOCK price forecasting; OBSOLESCENCE; MANAGEMENT
- Publication
Journal of Finance (Wiley-Blackwell), 1987, Vol 42, Issue 5, p1309
- ISSN
0022-1082
- Publication type
Article
- DOI
10.2307/2328529