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

Journal of Futures Markets

Volumn 18, Issue 3, 1998, Pages 297-305

  Pizzi, Michael A ^a   Economopoulos, Andrew J ^b   O'Neill, Heather M ^b  

^a FEDERAL RESERVE BOARD   (United States)

^b URSINUS COLLEGE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0032364937     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199805)18:3<297::AID-FUT4>3.0.CO;2-3     Document Type: Article

References (9)

1. Antoniou, A., and Garrett, I. (1993): "To What Extent Did Stock Index Futures Contribute to the October 1987 Stock Market Crash?" The Economic Journal, 103:1444-1461.
2. Enders, W. (1995): Applied Econometric Time Series. New York: John Wiley & Sons.
3. Engle, R. F., and Granger, C. W. J. (1987): "Cointegration and Error Correction: Representation, Estimation, and Testing," Econometrica, 55:251-276.
4. Garbade, K. D., and Silber, W. L. (1983): "Price Movements and Price Discovery in Futures and Cash Markets," Review of Economics and Statistics, 65:289-297.
5. Herbst, A. F., McCormack, J. P., and West, E. N. (1987): "Investigation of a Lead-Lag Relationship between Spot Stock Indices and Their Futures Contracts," The Journal of Futures Markets, 7:373-381.
6. Kawaller, I. G., Koch, P. D., and Koch, T. W. (1987): "The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index," Journal of Finance, 42:1309-1329.
7. Schroeder, T. C., and Goodwin, B. K. (1991): "Price Discovery and Cointegration for Live Hogs," The Journal of Futures Markets, 11:685-696.
8. Stoll, H. R., and Whaley, R. E. (1990): "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, 25:441-468.
9. Wahab, M., and Lashgari, M. (1993): "Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach," The Journal of Futures Markets, 13:711-742.