201. The October 1987 S & P 500 stock-futures basis
- Author
-
Harris, Lawrence
- Subjects
Stock Market Crash, 1987 -- Research ,Standard and Poor's Industrial Index -- Research ,Futures -- Research ,Banking, finance and accounting industries ,Business - Abstract
Five-minute changes in the S&P index and futures contract are examined over a ten-day period surrounding the Oct 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. (Reprinted by permission of the publisher.) more...
- Published
- 1989