University of Siena Department of Economic Policy, Finance and Development Working Paper No. 12/2010
22 Pages Posted: 20 Jan 2011
Date Written: December 19, 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.
Keywords: Futures Market, Spot Markets, Intraday Timing, Market Correlation, Information Processing
JEL Classification: F36, G14, G15
Suggested Citation: 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: https://ssrn.com/abstract=1743608 or http://dx.doi.org/10.2139/ssrn.1743608