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An alternative specification for intraday simultaneity in spot and futures markets

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  • Mercer, Jeffrey M.

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  • Mercer, Jeffrey M., 1997. "An alternative specification for intraday simultaneity in spot and futures markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 667-682.
    • Handle: RePEc:eee:quaeco:v:37:y:1997:i:3:p:667-682
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    1. Davidson, James & Hall, Stephen, 1991. "Cointegration in Recursive Systems," Economic Journal, Royal Economic Society, vol. 101(405), pages 239-251, March.
    2. George H. K. Wang & Jot Yau, 1994. "A time series approach to testing for market linkage: Unit root and cointegration tests," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(4), pages 457-474, June.
    3. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    4. Kawaller, Ira G & Koch, Paul D & Koch, Timothy W, 1987. "The Temporal Price Relationship between S&P 500 Futures and the S and P 500 Index," Journal of Finance, American Finance Association, vol. 42(5), pages 1309-1329, December.
    5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    6. Miller, Merton H & Muthuswamy, Jayaram & Whaley, Robert E, 1994. "Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?," Journal of Finance, American Finance Association, vol. 49(2), pages 479-513, June.
    7. Gregory J. Kuserk & Peter R. Locke & Chera L. Sayers, 1992. "The effects of amendments to rule 80a on liquidity, volatility, and price efficiency in the S&P 500 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(4), pages 383-409, August.
    8. Jokivuolle, Esa, 1995. "Measuring True Stock Index Value in the Presence of Infrequent Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(3), pages 455-464, September.
    9. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    10. Mahmoud Wahab & Malek Lashgari, 1993. "Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(7), pages 711-742, October.
    11. Chan, Kalok, 1992. "A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market," The Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 123-152.
    12. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 441-468, December.
    13. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
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