Fung, Joseph K.W.; Yu, Philip L.H. - In: Journal of Futures Markets 27 (2007) 12, pp. 1129-1157
This study uses transaction records of index futures and index stocks, with bid/ask price quotes, to examine the impact of stock market order imbalance on the dynamic behavior of index futures and cash index prices. Spurious correlation in the index is purged by using an estimate of the...