文档介绍：Original Article
Intraday realised volatility relationships between
the S&P 500 spot and futures market
Rest to traders and cross-correlations between spot and futures
regulators. If markets were frictionless, futures market returns (see Kawaller et al,1 Herbst et al,2
prices would reflect the opportunity cost of a Stoll and Whaley,3 Brooks et al,4 Turkington
long spot position that replicates the underlying and Walsh,5 among others).
stock index. In this case, spot and futures returns Although most studies generally find that
would be perfectly and positively correlated and futures market returns lead to spot market
no lead-lag relationship between spot and futures returns (see, for example, Frino and West,6
& 2009 Palgrave Macmillan 1753-9641 Journal of Derivatives & Hedge Funds Vol. 15, 2, 116–121
- realized volatility relationships between the S&P 500 spot and futures market
Min and Najand,7 Lafuente and Novales,8 DATA
Gwilyin and Buckle,9 and Chatrath et al,10 Intraday data on the S&P 500 spot index
among many others), the empirical evidence and stock index futures market were provided
regarding market volatility is far from conclusive. by ‘Tick Data Inc.’, for the period 17 January,
For example, Chin et al11 analyse the intraday 2000 through 26 November 2002.