The linkages of S & P stock index and S & P 500 stock index futures prices during October 1987

Article Abstract:

A study of the linkages between S & P 500 index futures market and the S & P stock index futures prices in October 1987 reveals that, except for Oct 16 and 19 1987, the two markets were highly cointegrated and ran as one market for the majority of the trading days for the said month. The results of the study likewise indicate that the stock and futures markets met instantly following the crash. The price-discover process also came from the futures market rather than from the stock market, as the two markets are connected by index arbitrage.

Analysis, Stock price indexes, Futures, Stock Market Crash, 1987

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Day of the week effects, information seasonality, and higher moments of security returns

Article Abstract:

Research into day of the week effects, information seasonality and higher moments on security returns with respect to the size of the firm was conducted. Since most earnings and dividend announcements are made during Wednesdays, the accuracy of the predicted returns and investor response to such returns follow a trend of increase from Monday to Friday. This is largely due to the accuracy of information and verification of the information.

Models, Return on investment, Rate of return

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The role of exchange and interest risk in equity valuation: a comparative study of international stock markets

Article Abstract:

A study is conducted on exchange and interest rate risk exposure in Germany, Japan, the UK and the US from 1981-1989. A three-factor model was developed using Seemingly Unrelated Regressions procedure. Findings showed exchange rate risk sensitivity in the four industrialized countries in varying degrees.

United Kingdom, Economic aspects, Japan, Germany, Risk (Economics)

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