In this brief research paper, I explore patterns in intraday return and volume correlation between the S&P 500 and sector indices, as represented by minutely data from Aug. 23 to Oct. 1 for the SPDR exchange-traded funds. Notably, there is evidence of two previously unreported time-of-day...

This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition. We focus on the latter index because it employs publicly-known objective criteria to determine membership and hence it provides a natural context to investigate anticipatory trading...

We examine market reactions to changes in the FTSE SmallCap index membership, which are determined quarterly based on market capitalization and are free of information effects. Our main results are asymmetric price and liquidity responses between the firms that are shifted between FTSE indexes...

This paper investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The idea is that quot;contagionquot; between markets occurs as the result of attempts by rational agents to infer information from price changes in other markets....