The October 1987 S&P 500 Stock-Futures Basis

Five-minute changes in the S&P 500 index and futures contract are examined over a ten-day period surrounding the October 1987 stock market crash. Since nonsynchronous trading problems are severe in these data, new index estimators are derived and used. The estimators use the complete transaction...

Full description

Saved in:
Bibliographic Details
Published in:The Journal of finance (New York) 1989-03, Vol.44 (1), p.77-99
Main Author: HARRIS, LAWRENCE
Format: Article
Language:English
Subjects:
Basis
Cash
Estimators
Financial futures
Financial portfolios
Futures
Futures markets
Interval estimators
Mathematical models
Periodical indexing
Price changes
Prices
Stock exchanges
Stock index futures
Stock market indices
Stock prices
Stock shares
Transactions
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Five-minute changes in the S&P 500 index and futures contract are examined over a ten-day period surrounding the October 1987 stock market crash. Since nonsynchronous trading problems are severe in these data, new index estimators are derived and used. The estimators use the complete transaction history of all 500 stocks. Nonsynchronous trading explains part of the large absolute futures-cash basis observed during the crash. The remainder may be due to disintegration of the two markets. Even after adjustment for nonsynchronous trading, the index displays more autocorrelation than does the futures and the futures leads the index.
ISSN:0022-1082
1540-6261
DOI:10.1111/j.1540-6261.1989.tb02405.x