The lead-lag relationship in both returns and volatilities between spot and futures markets has been investigated extensively in the financial economics literature. Only a limited number of such studies have appeared on forward markets, primarily due to the lack of easy access to empirical data....

In May of 1997, in the midst of the internet bubble, the average month end P/E ratio for the software industry was 44. However, the five year historical average was 31. In this study we examine the effect of this industry value fluctuation on the effects of option prices. We examine the...

Stock returns appear to comove in excess of common news about stock fundamentals. I examine comovement when stocks are added to or deleted from the FTSE 100 stock index, which are events without news about fundamantals. Using a natural experiment created by FTSE's index balancing rule, I find...