Employing intraday data for futures and cash values for the S&P 500 over the 1993–1996 period, we attempt to characterize the lead–lag relationship between these two markets and their basis behavior. Our findings show evidence of pronounced futures leadership when markets are rising, with no...

The observation that different national stock markets are interrelated to different degrees is well established in the literature on global market integration. This literature documents that different national markets display more or less sensitivity to movements in other national equity...