Chains of the CME Group Time and Sales E-mini S&P 500 futures tick prices and their a-b-c-d-increments are studied. A …

This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on …(1,1) and EGARCH(1,1) models consistently confirm that Index futures expiration-day effects on market returns exists in …

We analyze the lead-lag relationship between VIX futures and SPX futures on a sample of high-frequency data. We find … that the two futures markets are weakly connected when market volatility is low. In contrast, when volatility is high …, their prices are highly negatively correlated and with the VIX futures leading the SPX futures. We study the determinants of …

Futures trading replacing thereby age old Badla transactions and almost two decades since the introduction and implementation … compares the reaction of futures and cash markets to the flow of information and tries to establish a lead-lag relationship … between the two markets in terms of returns and volatilities being experienced by NIFTY and NIFTY futures indices in two …