✦ LIBER ✦

The informational role of end-of-the-day returns in stock index futures

✍ Scribed by Anthony F. Herbst; Edwin D. Maberly

Publisher: John Wiley and Sons
Year: 1992
Tongue: English
Weight: 439 KB
Volume: 12
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990120510

No coin nor oath required. For personal study only.

✦ Synopsis

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 stale quotes.

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