Kawaller, Ira G; Koch, Paul D; Koch, Timothy W - In: Journal of Financial Research 16 (1993) 2, pp. 107-21
In this study we empirically examine the intraday lead/lag relation between S&P 500 futures prices and the S&P 500 index, and whether daily market characteristics are associated with changes in the relation. We estimate daily Geweke measues of feedback and regress time series of these measures...
