S&P 500 cash stock price volatilities

Article Abstract:

S&P 500 stock return volatilities are compared to the volatilities of a matched set of stocks, after controlling for cross-sectional differences in firm attributes known to affect volatility. No significant difference in volatility is observed between 1975 and 1983 - before the start of trade in index futures and index options, Since then, S&P 500 stocks have been relatively more volatile. The difference is statistically, but not economically, significant. The relative increase occurs primarily in daily returns and only to a lesser extent in longer interval returns. Other factors besides the start of derivative trade could be responsible for the small increase in volatility. (Reprinted by permission of the publisher.)

Analysis, Standard and Poor's 500-Stock Price Index

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The October 1987 S & P 500 stock-futures basis

Article Abstract:

Five-minute changes in the S&P index and futures contract are examined over a ten-day period surrounding the Oct 1987 stock market crash. Since nonsynchronous trading problems are severe in these data, new index estimators are derived and used. The estimators use the complete transaction history of all 500 stocks. Nonsynchronous trading explains part of the large absolute futures-cash basis observed during the crash. The remainder may be due to disintegration of the two markets. Even after adjustment for nonsynchronous trading, the index displays more autocorrelation than does the futures and the futures leads the index. (Reprinted by permission of the publisher.)

Futures, Stock Market Crash, 1987, Standard and Poor's Industrial Index

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Price and volume effects associated with changes in the S & P 500 list: new evidence for the existence of price pressures

Article Abstract:

The effect of changes in the stocks comprising the S & P 500 on various stock prices and trading volumes is analyzed, and the analysis leads to the conclusion that price pressures may be difficult to identify when they result from large transactions. However, the analysis does affirm certain theories related to price pressures, including the observance that prices increase by a minimum of three percent following the stock's addition to the S & P 500 listing. It is also noticed that this price increase reverses itself within two weeks of the stock's addition to the listing.

Economic aspects, Services, Stocks, Statistics, Capital market, Capital markets, Efficient market theory, Standard & Poor's Corp., Stock transfer

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