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The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index
Author(s) -
KAWALLER IRA G.,
KOCH PAUL D.,
KOCH TIMOTHY W.
Publication year - 1987
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1987.tb04368.x
Subject(s) - futures contract , expiration , index (typography) , expiration date , economics , econometrics , financial economics , medicine , chemistry , computer science , world wide web , food science , respiratory system
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.