Intra-Day Anomalies in the Relationship between U.S. Futures and European Stock Indexes
University of Siena - Labsi Experimental Economics Laboratory; University of Siena - Department of Social, Political and Cognitive Sciences
affiliation not provided to SSRN
University of Siena; Corte dei conti
University of Siena
December 19, 2010
University of Siena Department of Economic Policy, Finance and Development Working Paper No. 12/2010
The paper presents 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 time). This fall is interpreted as derived from the expected release of press communication from U.S. companies. While in U.S. futures traded volumes decrease until the announcements are made, in Europe the expectation of new information coming from U.S. affects indexes price sensitivity providing arbitrage opportunities, due to the imperfect international integration of financial markets.
Number of Pages in PDF File: 22
Keywords: Futures Market, Spot Markets, Intraday Timing, Market Correlation, Information Processing
JEL Classification: F36, G14, G15working papers series
Date posted: January 20, 2011
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