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An examination of the relationship between stock index cash and futures markets: A cointegration approach

An examination of the relationship between stock index cash and futures markets: A cointegration... The opinions expressed are those of the authors and do not necessarily reflect the views of the Board of Governors of the Federal Reserve System. Michael A. Pizzi is a Research Assistant at the Board of Governors of the Federal Reserve System. Andrew J. Economopoulos is an Associate Professor of Economics and Business at Ursinus College. Heather M. O’Neill is an Associate Professor of Economics and Business at Ursinus College. The Journal of Futures Markets, Vol. 18, No. 3, 297–305 (1998) 1998 by John Wiley & Sons, Inc. CCC 0270-7314/98/030297-09 Pizzi et al. Different econometric techniques, such as regression analysis and spectral analysis, to test efficiency and price discovery have developed over time. Since the topics deal with short-run and long-run deviations from a presumed equilibrium relationship based on no arbitrage price bounds, the introduction of cointegration analysis with error correction models is fortuitous. The use of cointegration analysis and error correction models enables one to distinguish between short-run deviations from equilibrium indicative of price discovery and long-run deviations that account for efficiency and stability. This paper examines price discovery in the Standard and Poor’s 500 (S&P 500) cash index and its three-month and six-month stock index futures http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Futures Markets Wiley

An examination of the relationship between stock index cash and futures markets: A cointegration approach

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References (8)

Publisher
Wiley
Copyright
Copyright © 1998 John Wiley & Sons, Inc.
ISSN
0270-7314
eISSN
1096-9934
DOI
10.1002/(SICI)1096-9934(199805)18:3<297::AID-FUT4>3.0.CO;2-3
Publisher site
See Article on Publisher Site

Abstract

The opinions expressed are those of the authors and do not necessarily reflect the views of the Board of Governors of the Federal Reserve System. Michael A. Pizzi is a Research Assistant at the Board of Governors of the Federal Reserve System. Andrew J. Economopoulos is an Associate Professor of Economics and Business at Ursinus College. Heather M. O’Neill is an Associate Professor of Economics and Business at Ursinus College. The Journal of Futures Markets, Vol. 18, No. 3, 297–305 (1998) 1998 by John Wiley & Sons, Inc. CCC 0270-7314/98/030297-09 Pizzi et al. Different econometric techniques, such as regression analysis and spectral analysis, to test efficiency and price discovery have developed over time. Since the topics deal with short-run and long-run deviations from a presumed equilibrium relationship based on no arbitrage price bounds, the introduction of cointegration analysis with error correction models is fortuitous. The use of cointegration analysis and error correction models enables one to distinguish between short-run deviations from equilibrium indicative of price discovery and long-run deviations that account for efficiency and stability. This paper examines price discovery in the Standard and Poor’s 500 (S&P 500) cash index and its three-month and six-month stock index futures

Journal

The Journal of Futures MarketsWiley

Published: May 1, 1998

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