Innocenti, Alessandro; Malpenga, Pier; Menconi, Lorenzo; … - Dipartimento di Politica Economica, Finanza e Sviluppo … - 2010
The paper presents an empirical investigation of the intraday minute by minute relationship between the U.S. S&P 500 Index Futures and the three major European stock indexes (CAC 40, DAX-100, and FTSE 100). Data analysis shows that the well established positive correlation between futures and...
