Abstract

http://ssrn.com/abstract=1743608
 
 

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


Alessandro Innocenti


University of Siena - Department of Social, Political and Cognitive Sciences; University of Siena - Labsi Experimental Economics Laboratory

Pier Malpenga


affiliation not provided to SSRN

Lorenzo Menconi


University of Siena; Corte dei conti

Alessandro Santoni


University of Siena

December 19, 2010

University of Siena Department of Economic Policy, Finance and Development Working Paper No. 12/2010

Abstract:     
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, G15

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Date posted: January 20, 2011  

Suggested Citation

Innocenti, Alessandro and Malpenga, Pier and Menconi, Lorenzo and Santoni, Alessandro, Intra-Day Anomalies in the Relationship between U.S. Futures and European Stock Indexes (December 19, 2010). University of Siena Department of Economic Policy, Finance and Development Working Paper No. 12/2010. Available at SSRN: http://ssrn.com/abstract=1743608 or http://dx.doi.org/10.2139/ssrn.1743608

Contact Information

Alessandro Innocenti (Contact Author)
University of Siena - Department of Social, Political and Cognitive Sciences ( email )
Piazza Mattioli 10
Siena, Siena I-53100
Italy
39 338 5724318 (Phone)
39 0577 232793 (Fax)
HOME PAGE: http://www.labsi.org/innocenti/
University of Siena - Labsi Experimental Economics Laboratory ( email )
Piazza Mattioli 10
Siena, Siena 53100
Italy
HOME PAGE: http://www.labsi.org
Pier Malpenga
affiliation not provided to SSRN ( email )
Lorenzo Menconi
University of Siena ( email )
Piazza San Francesco 7
Siena, 53100
Italy
Corte dei conti ( email )
viale Mazzini
Roma, Roma 00195
Italy
Alessandro Santoni
University of Siena ( email )
Piazza San Francesco 7
Siena, 53100
Italy
Feedback to SSRN


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