The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index
用分钟级数据实证研究标普500期货与指数之间的价格领先滞后关系，发现期货价格变动领先指数20-45分钟，而指数变动对期货影响不超过1分钟。
ABSTRACT 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 used to estimate lead and lag relationships with estimates for expiration days of the S&P 500 futures compared with estimates for days prior to expiration. The results suggest that futures price movements consistently lead index movements by twenty to forty‐five minutes while movements in the index rarely affect futures beyond one minute.