The October 1987 S&P 500 Stock‐Futures Basis
分析1987年股灾前后标普500指数与期货的5分钟变动，提出新估计方法处理非同步交易问题，发现非同步交易部分解释了大价差，剩余可能源于市场脱节。
ABSTRACT 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.