The DOI matches its Crossref record; 17 of the 17 references it cites were found in a registry or an index.
The Dynamics of Stock Index and Stock Index Futures Returns
Abstract
In rational, efficiently functioning markets, the returns on stock index and stock index futures contracts should be perfectly, contemporaneously correlated. This study investigates the time series properties of 5-minute, intraday returns of stock index and stock index futures contracts, and finds that S&P 500 and MM index futures returns tend to lead stock market returns by about five minutes, on average, but occasionally as long as 10 minutes or more, even after stock index returns have been purged of infrequent trading effects; however, the effect is not completely unidirectional, with lagged stock index returns having a mild positive predictive impact on futures returns.
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Cites
Investigating causal relations by econometric models and cross-spectral methods
Granger, C. W. J. (1969) · Econometrica · doi:10.2307/1912791 · Cited by 22,989
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Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
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A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
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Inferring the Components of the Bid‐Ask Spread: Theory and Empirical Tests
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Self-citationPierce, D. A., & Haugh, L. D. (1977) · Journal of Econometrics · doi:10.1016/0304-4076(77)90039-2 · Cited by 599
Cited by
Option Volume and Stock Prices: Evidence on Where Informed Traders Trade
Easley, D., O'Hara, M., & Srinivas, P. S. (1998) · The Journal of Finance · doi:10.1111/0022-1082.194060 · Cited by 1,084
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility
Lin, W.-L., Engle, R. F., & Ito, T. (1994) · Review of Financial Studies · doi:10.1093/rfs/7.3.507 · Cited by 873
Predicting Volatility in the Foreign Exchange Market
JORION, P. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04793.x · Cited by 722
The profitability of technical trading rules in the Asian stock markets
Bessembinder, H., & Chan, K. (1995) · Pacific-Basin Finance Journal · doi:10.1016/0927-538x(95)00002-3 · Cited by 324
Are Asian stock markets efficient? Evidence from new multiple variance ratio tests
Kim, J. H., & Shamsuddin, A. (2008) · Journal of Empirical Finance · doi:10.1016/j.jempfin.2007.07.001 · Cited by 311
Metadata
- Authors
- Stoll, H. R., & Whaley, R. E.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 1990-12
- Volume
- 25
- Issue
- 4
- Pages
- 441
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W2075194507
- Cited by
- 802
- References
- 17
- FWCI
- 23.71
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
