The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index

Journal of Finance - Tập 42 Số 5 - Trang 1309-1329 - 1987
Ira G. Kawaller, Paul D. Koch, Timothy W. Koch

Tóm tắt

ABSTRACTThis 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.

Từ khóa


Tài liệu tham khảo

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Thông tin xuất bản

Journal of Finance

Tập 42 Số 5

1309-1329

Thông tin tác giả