Stoll, Hans R.; Whaley, Robert E. - In: Journal of Financial and Quantitative Analysis 25 (1990) 04, pp. 441-468
In rational, efficiently functioning markets, the returns on stock index and stock index futures contracts should be perfectly, contemporaneously correlated. This study investigates the time series properties of 5-minute, intraday returns of stock index and stock index futures contracts, and...
