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Index futures leadership, basis behavior, and trader selectivity
Article first published online: 3 MAY 2002
DOI: 10.1002/fut.10026
Copyright © 2002 Wiley Periodicals, Inc.
1096-9934/asset/cover.gif?v=1&s=127934b27fe5373f5a82393587f60fd7f50e7c6f "Journal of Futures Markets")
Additional Information
How to Cite
Chatrath, A., Christie-David, R., Dhanda, K. K. and Koch, T. W. (2002), Index futures leadership, basis behavior, and trader selectivity. J. Fut. Mark., 22: 649–677. doi: 10.1002/fut.10026
Publication History
- Issue published online: 3 MAY 2002
- Article first published online: 3 MAY 2002
- Manuscript Accepted: NOV 2001
- Manuscript Received: JUN 2001
- Abstract
- References
- Cited By
Abstract
Employing intraday data for futures and cash values for the S&P 500 over the 1993–1996 period, we attempt to characterize the lead–lag relationship between these two markets and their basis behavior. Our findings show evidence of pronounced futures leadership when markets are rising, with no feedback from the cash market. However, when markets are falling, futures leadership is less evident and significant feedback from the cash market is noted. We also provide evidence of a positive relationship between the basis and return volatility. We offer an explanation, based on trader selectivity, for the leadership-asymmetry and the basis–volatility relationship. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:649–677, 2002