Herbst, A., McCormack, J. and West, E. (1987): `Investigation of a lead-lag relationship between spot indices and their futures contracts', Journal of Futures Markets 7:373--82. Kawaller, I. G., Koch, P. D. and Koch, T. W. (1987): `The temporal price relationship between S&P500 futures and the S&P500 index', Journal of Finance 42(5):1309--29. Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
Price Discovery across Multiple Spot and Futures Markets - Thomas, Karande (2001) (Correct)
....an important area of research. The relationship between the equity index spot and equity index futures has been the subject of many papers, which broadly find that that price innovations appear first in the futures market and are then transmitted down into the spot market (Stoll and Whaley, 1990; Herbst et al. 1987; Cheung and Ng, 1990; Chan et al. 1991; Chan, 1992; Kawaller et al. 1987) This is consistent with the argument that positions on the index futures market enjoy greater leverage, which appeals to speculators. In the empirical literature, there is a weak consensus in the case of commodity ....
Herbst, A., McCormack, J. and West, E. (1987): `Investigation of a lead-lag relationship between spot indices and their futures contracts', Journal of Futures Markets 7:373--82. Kawaller, I. G., Koch, P. D. and Koch, T. W. (1987): `The temporal price relationship between S&P500 futures and the S&P500 index', Journal of Finance 42(5):1309--29.
Information Dispersal: A Microstructure Analysis of Stock.. - Daigler, Herbst Self-citation (Herbst) (Correct)
....smoothing effect of using old prices results in downwardly biased volatility estimates for the cash indices. Thus, the futures transactions data provide a more accurate high frequency measure of volatility than available for the cash indices. Cheung and Ng (1990) Herbst and Maberly (1987) Herbst, McCormack and West (1987), and Kawaller, Koch, and Koch (1987) among others, show that futures price changes lead cash stock indices price changes by 15 to 30 minutes. 3 The purpose of this paper is to apply a different methodology, cross spectral analysis, to the study of the transmission of volati lity between ....
Herbst, A. F., McCormack, J. P., West, E. N., "Investigation of a Lead-Lag Relationship Between Spot Stock Indices and Their Futures Con tracts." The Journal of Futures Markets, Vol. 7 No. 4 (August 1987), pp. 374381.
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