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
Weekend and day of the week effects in returns on stock index futures
โ Scribed by Joan C. Junkus
- Publisher
- John Wiley and Sons
- Year
- 1986
- Tongue
- English
- Weight
- 569 KB
- Volume
- 6
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Thomas Schneeweis\* ver the last ten years, several academic studies have identified a statistical-0 ly significant weekly pattern in stock returns.' Similar effects have been found in stock index futures.\* The results of these studies show that the average return of stock indexes and stock index f
## Abstract We investigate bivariate regimeโswitching in daily futuresโcontract returns for the US stock index and tenโyear Treasury notes over the crisisโrich 1997โ2005 period. We allow the return means, volatilities, and correlation to all vary across regimes. We document a striking contrast betw
This communication documents a substantial change in the relationship between volume and open interest for the S&P 500 futures contract. Not unexpectedly, it affirms a positive association between volume and open interest. However, comparison of the relationship for the pre-and post-Crash periods im
he pricing of futures contracts relative to their underlying cash assets via no-T arbitrage relations has been a subject of extensive theoretical and empirical research. Recent studies of arbitrage-enforced relative futures-cash pricing restrictions by for Treasury bill futures,' and by ; Cornell a