The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index

By Ira G. Kawaller, Paul D. Koch, T. Koch. 1987

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Citations in the corpus

A deep learning framework for financial time series using stacked autoencoders and long-short term memory (2017, background): “In fact, evidence from both theoretical and empirical literature all proves the close connections between stock indices and their corresponding index futures [77–81].”
The Co-integrating Relationship between Stock Index and Futures Prices (2009, methodology): “By using the same method, Wahab and Lashgari (1993)[3]also conclude that the futures and spot markets of S&P 500 and FTSE 100 are co-integrated, but indicate that spot returns contribute more than future returns.”
A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100 (2001, unknown): “Kawaller et al. (1987), for example, found, using minute to minute data on the S&P 500 futures contract and the corresponding spot index, that”
Index futures and positive feedback trading : evidence from major stock exchanges. (2005, background): “Stoll and Whaley (1990) and Kawaller et al. (1987) find that movements in the index futures market lead movements in the spot market.”
Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs (2020, background): “Some studies find that futures markets lead price discovery (Kawaller, Koch, and Koch, 1987; Chan, 1992).”
Price Discovery and Volatility Spillovers in Index Futures Markets: Some Evidence from Mexico (2004, unknown): “Several studies suggest that futures markets play a critical role in price discovery for the underlying spot market [Chatrath, Chaudhry, and Christie-David (1999), Lien and Tse (2000), and Yang, Bessler, and Leatham (2001)].”
Intraday Price Formation in U.S. Equity Index Markets (2003, unknown): “To 1 Representative studies include: Kawaller, Koch, and Koch (1987), MacKinlay and Ramaswamy (1988), Stoll and Whalley (1990), Wahab and Lashgari (1993), Harris, Sofianos, and Shapiro (1994), Choi and Subrahmanyam (1994), Fleming, Ostdiek, and Whalley (1996), Chu, Hsieh, and Tse (1999).”