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

Abstract

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Linkage between International Food Commodity Prices and the Chinese Stock Markets

“…This study is indebted to a number of literatures on the relationship between futures and stock indices (Finnerty & Park, 1987;Kawaller et al, 1987;Ng, 1987;Harris, 1989;Stoll & Whaley, 1990;Chan, 1992;Tse, 1999). Finnerty and Park (1987) show a significant relationship between the change in futures prices and the subsequent change in the stock index with intraday spot and futures prices of the Chicago Board of Trade's Major Market Index (MMI) and the Maxi Major Market Index (MMMI).…”

Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash

“…These analyses can be interpreted along the lines of Garbade and Silber's (1983) model in which a 2 continuum of traders induces continuity in mean reversion. Among others, Kawaller, Koch, and Koch (1987), Stall and Whaley (1990), and K. Chan (1991) have estimated such models. A general finding is that changes in the futures 1ead the cash market, with less or no feedback from the cash to futures.…”

Influence of the CSI 300 Stock Index Futures on the Iiquidity of the Stock Market of China-Analysis Based on the PSM and DID Method

“…-基于PSM方法和DID方法的分析 [1] 以标准普尔 500 指数及其成分股作为研究对象，发现指数成分股的平均价格差额有明显降 低，指数期货的交易增强了股票现货市场的流动性。Chau 等（2007） [2] 人从市场流动性和对 交易信息的反映水平的角度研究了全球股指期货对相应现货市场活力影响，结果表明股指期 货能够增强市场流动性。在国内，郦金梁（2012） [3] 等人基于 EGARCH 模型参数估计的研究结 果认为，沪深 300 指数期货的推出提升了股票市场的流动性和价格发现能力。 也有学者认为，股指期货的推出减弱了股票现货市场的流动性。Gould（1988） [4] 对标准 普尔 500 指数期货合约和现货合约的套利机制进行研究，发现当指数期货被不正确定价时， 期货市场和现货市场会发生套利现象，降低市场流动性。Duffie 等 (1990) [5] 认为，股指期 货市场巨大的交易量会耗尽现货市场的流动性来源，并且导致股票现货市场的股票价格低于 其内在价值。在国内，许红伟和吴冲锋（2012） [6] 利用联立方程模型研究沪深 300 股指期货 的影响，认为股指期货推出的初期，现货市场资金的增量小于转移到股指期货市场的资金量， 股票市场的换手率下降、流动性恶化。 同时也有研究指出，在证券市场的不同发展阶段，股指期货的会对股票现货市场产生不 同的影响。罗洎和王莹（2011） [7] 认为在平稳运行的股指期货市场中，股指期货的推出都会 显著增加其市场流动性；然而，如果股指期货市场具有较强的投机性，整个现货市场的流动 性反而会减弱。闻岳春和王泳（2012） [8] …”