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• W2080653208 abstract "Journal of Futures MarketsVolume 7, Issue 4 p. 373-381 Article Investigation of a lead-lag relationship between spot stock indices and their futures contracts Anthony F. Herbst, Anthony F. Herbst Charles R. and Dorothy S. Carter Professor of Business Administration and a Professor of Finance at the University of Texas at El Paso, TexasSearch for more papers by this authorJoseph P. McCormack, Joseph P. McCormack Assistant Professor of Finance at the University of Texas at Arlington, TexasSearch for more papers by this authorElizabeth N. West, Elizabeth N. West Coopers & Lybrand Public Accountants in Fort Worth, TexasSearch for more papers by this author Anthony F. Herbst, Anthony F. Herbst Charles R. and Dorothy S. Carter Professor of Business Administration and a Professor of Finance at the University of Texas at El Paso, TexasSearch for more papers by this authorJoseph P. McCormack, Joseph P. McCormack Assistant Professor of Finance at the University of Texas at Arlington, TexasSearch for more papers by this authorElizabeth N. West, Elizabeth N. West Coopers & Lybrand Public Accountants in Fort Worth, TexasSearch for more papers by this author First published: August 1987 https://doi.org/10.1002/fut.3990070403Citations: 73AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Bibliography Chatfield, C. (1980): The Analysis of Time Series: An Introduction. Chapman and Hall, New York. Cornell, B. and French, K. (1982): “The Pricing of Stock Index Futures,” Journal of Futures Markets 3: 1–14. Fogler, H. R. (1973, January): “A Note on Spectral Analysis of Stochastic Series,” Decision Sciences 4: 58–62. Goldberg, M. A. and Vora, A. (1978, September): “Bivariate Spectral Analysis of the Capital Asset Pricing Model,” Journal of Financial and Quantitative Analysis 00: 435–459. Grant, D. (1982, May-June): “ Market Index Futures Contracts: Some Thoughts on Delivery Dates,” Financial Analysts Journal: 60–63. Kipnis, G. and Tsang, S. (1983, February): “ Index Futures Track Each Other Better Than Indexes,” Commodities: 50–52. Modest, D. and Sundaresan, M. (1983, Spring): “ The Relationship Between Spot and Futures Prices in Stock Index Futures Markets: Some Preliminary Evidence,” Journal of Futures Markets: 15–41. Seidel, A. D. and Ginsberg, P. M. (1983): Commodities Trading. Prentice-Hall, Inc., Englewood Cliffs, New Jersey. Zeckhauser, R. and Niederhoffer, V. (1983, February): “ The Performance of Market Index Futures Contracts,” Financial Analysts Journal: 59–65. Citing Literature Volume7, Issue4August 1987Pages 373-381 ReferencesRelatedInformation" @default.
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