股指期货研究中外权威论文-8.pdfVIP

JOURNAL OF FINANCIAL AND OUANTITATIVE ANALYSIS VOL. 25, NO. 4 . DECEMBER 1990 The Dynamics of Stock Index and Stock Index Futures Retums Hans R. Stoll and Robert E. Whaley* Abstract In rational, efficiently functioning markets, the returns on stock index and stock index futures contracts should be perfectly, contemporaneously correlated. This study investi- gates the time series properties of 5-minute, intraday retums of stock index and stock index futures contracts, and finds that SP 500 and MM index futures retums tend to lead stock market retums by about five minutes, on average, but occasionally as long as 10 minutes or more, even after stock index retums have been purged of infrequent trading effects; however, the effect is not completely unidirectional, with lagged stock index re- tums having a mild positive predictive impact on futures retums. I. Introduction In spite oftheir relatively short history, the stock index futures contract mar- ket has become a controversial topic of discussion and debate. Beginning before, but particularly since the stock market crash of October 19, 1987, stock index futures, index arbitrage, and program trading have been blamed for excessive stock market price swings. Many governmental and academic studies have ex- amined intraday pattems of index futures and stock price changes in the days surrounding and including October 19; however, little empirical analysis ofthe intraday comovement of the prices of index futures and stocks in more nonnal periods has appeared. 2 • Owen Graduate School of Management, Vanderbilt University, Nashville, TN 37203, and The Fuqua School of Business, Duke University, Durham, NC 27706, respectively. This research was supported