Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices
利用标普500股指期货日内交易数据和标的指数日内报价，发现期货价格变化不相关且波动性高于指数，并检验了期货价格与理论值差异（错误定价）随到期日增加和路径依赖的假设。
This article examines intraday transaction data for S&P 500 stock index futures prices and the intraday quotes for the underlying index. The data indicate that the futures price changes are uncorrelated and that the variability of these price changes exceeds the variability of price changes in the S&P 500 index. This excess variability of the futures over the index remains even after controlling for the nonsynchronous prices in the index quotes, which induces auto-correlation in the index changes. We advance and examine empirically two hypotheses regarding the difference between the futures price and its theoretical value: that this ‘mispricing’ increases on average with maturity, and that it is path-dependent. Evidence supporting these hypotheses is presented.