Recent research has suggested that intra-day volatility may contain both short-run and long-run components due to the existence of heterogeneous information flows or heterogeneous market agents (Andersen & Bollerslev, 1997a, 1997b;Mu Β¨ller et al., 1997). We report direct evidence for the existence o
Examining the dependency in intra-day stock index futures
β Scribed by Hung-Gay Fung; Wai-Chung Lo; John E. Peterson
- Publisher
- John Wiley and Sons
- Year
- 1994
- Tongue
- English
- Weight
- 734 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
The S&P 500 futures price is referred to as the futures price. All prices are recorded at Eastern Standard Time. S&P's monthly "500 Information Bulletin" reports an opening price for the S&P 500 index. However, this price is the index price recorded one minute after the NYSE opens and contains many
## Abstract This study examines factors affecting stock index spot versus futures pricing and arbitrage opportunities by using the S&P 500 cash index and the S&P 500 Standard and Poor's Depository Receipt (SPDR) ExchangeβTraded Fund (ETF) as βunderlying cash assets.β Potential limits to arbitrage w
he cash settlement feature of the Standard & Poor's (S&P) 500 futures and S&P T 100 options requires that arbitrage positions be unwound or rolled over immediately prior to expiration. This has led to concerns that index futures and index options have a destabilizing effect on equity prices during t