This paper empirically examines the intraday price relationship between S&P 500 futures and
the S&P 500 index using minute‐to‐minute data. Three‐stage least‐squares regression is …

This paper examines the intraday relationships between the volatility of S&P 500 futures
prices and the volatility of the S&P 500 index. We calculate variance measures for minute-to-…

By the end of 2002, public companies in the United States were required to comply with a
new set of accounting rules related to corporate use of derivative instruments. Financial …

The advent of markets for stock index futures and options has profoundly changed the
nature of trading on stock exchanges. These markets offer investors flexibility in altering the …

This study compares two alternative regression specifications for sizing hedge positions
and measuring hedge effectiveness: a simple regression on price changes and an error …

In this study we empirically examine the intraday lead/lag relation between S&P 500 futures
prices and the S&P 500 index, and whether daily market characteristics are associated with …

PAUL D. KOCH is professor of finance at the University of Kansas. hedged, and this change
is posted to earnings. Corresponding gains or losses on the derivative used to hedge this …

More often than not, futures market activities are cited as being integrally related to sharp
price changes in the traditional equity markets; and while the causal claims may be in dispute, …

Historical volatility of the price of an asset or security is typically computed as the standard
deviation of daily returns over some recent period (for example, the past 20-60 days). An …

During the last weeks before each quarterly expiration of Standard & Poor's (S&P) 500 futures,
the bulk of trading volume begins to shift away from the next‐to‐expire (nearby or lead) …