The linkages of S & P 500 stock index and S & P 500 stock index futures prices during October 1987

Journal of Economics and Business

Volumn 49, Issue 3, 1997, Pages 253-266

  Arshanapalli, Bala ^a   Doukas, John ^b  

^a INDIANA UNIVERSITY NORTHWEST   (United States)

^b OLD DOMINION UNIVERSITY   (United States)

Author keywords

Arbitrage; Cointegration; Crash; Stock market

Indexed keywords

EID: 0141556328     PISSN: 00129933     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0148-6195(97)00003-9     Document Type: Article

References (12)

1. Akaike, H. 1973. Information theory and the extension of the maximum likelihood principle. In Second International Symposium on Information Theory (B. N. Petron and F. Caski, eds.). Budapest: Akademiai Kiado, pp. 267-281.
2. Banerjee, A., Doloda, J. J., Hendry, D. F., and Smith, G. W. 1986. Exploring equilibrium relationships in econometrics through static models: Some Monte Carlo evidence. Oxford Bulletin of Economics and Statistics 48(3):253-277.
3. Bradley, M. G. and Lumpkin, S. A. 1992. The treasuring yield curve as a cointegrated system. Journal of Financial and Quantitative Analysis 27(3):449-463.
4. Brady Commission Report. 1988. Report of the Presidential Task Force on Market Mechanisms. In Black Monday and the Future of Financial Markets (R. Kamphius, R. Kormedi, and J. W. H. Watson, eds.). Homewood: Mid-American Institute, pp. 127-203.
5. Cambell, J. Y. 1987. Does saving anticipate declining labor income? An alternative test of the permanent income hypothesis. Econometrica 55(6):1249-1274.
6. Dickey, D. A. and Fuller, W. A. 1979. Distribution of the estimates for autoregressive time series with a unit root. Journal of the American Statistical Association 24:427-438.
7. Dickey, D. A. and Fuller, W. W. 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49(5):1057-1072.
8. Doukas, J. 1990. On unit roots and the persistent dependence of futures prices. In Advances in Econometrics: Co-Integration, Spurious Regressions, and Unit Roots, Vol. 8 (G. F. Rhodes and T. B. Fomby, eds.). Greenwich: JAI Press, pp. 295-306.
9. Scholes, M. and Williams, J. 1977. Estimating betas from nonsynchronous data. Journal of Financial Economics 5(3):309-327.
10. Schwert, W. G. 1990. Stock volatility and the crash of '87. Review of Financial Studies 3(1):77-102.
11. 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(4):441-468.
12. Wahab, M. and Leshgari, M. 1993. Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach. Journal of Futures Markets 13(4):711-742.