In this paper we study the intraday dynamics of E-mini S&P 500 index futures and the option trading strategies employing the weekly E-mini S&P 500 index futures options. We make a number of contributions to the literature in the area of intra-day equity index futures return predictability and...

Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI–stock market activities...