The authors present an empirical investigation of the intraday minute by minute relationship between the U.S. S&P 500 Index Futures and the three major European stock indexes (CAC 40,DAX-100, and FTSE 100). Data analysis shows that the well-established positive correlation between futures and stock indexes extends to this specific cross-country case. The correlation is particularly strong in the opening and closing of the European markets but decreases quickly and remarkably between 13:00 and 13:30 CET. This fall is interpreted as derived from the expected release of press communication from U.S. companies. Whereas in the U.S., futures traded volumes decrease until the announcements are made, in Europe the expectation of new information coming from the U.S. affects index price sensitivity, providing arbitrage opportunities due to the imperfect international integration of financial markets.

Innocenti, A., Pier, M., Lorenzo, M., & Alessandro, S. (2011). Intra-Day Anomalies in the Relationship between U.S. Futures and European Stock Indexes. JOURNAL OF INDEX INVESTING, 1, 40-52.

Intra-Day Anomalies in the Relationship between U.S. Futures and European Stock Indexes

INNOCENTI, ALESSANDRO;
2011

Abstract

The authors present an empirical investigation of the intraday minute by minute relationship between the U.S. S&P 500 Index Futures and the three major European stock indexes (CAC 40,DAX-100, and FTSE 100). Data analysis shows that the well-established positive correlation between futures and stock indexes extends to this specific cross-country case. The correlation is particularly strong in the opening and closing of the European markets but decreases quickly and remarkably between 13:00 and 13:30 CET. This fall is interpreted as derived from the expected release of press communication from U.S. companies. Whereas in the U.S., futures traded volumes decrease until the announcements are made, in Europe the expectation of new information coming from the U.S. affects index price sensitivity, providing arbitrage opportunities due to the imperfect international integration of financial markets.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11365/23113
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