The intraday lead–lag relation between returns of the Major Market cash index and returns of the Major Market Index futures and S&P 500 futures is investigated. Empirical results show strong evidence that the futures leads the cash index and weak evidence that the cash index leads the futures. The asymmetric lead–lag relation holds between the futures and all component stocks, including those that trade in almost every five-minute interval. Evidence indicates that when more stocks move together (market-wide information) the futures leads the cash index to a greater degree. This suggests that the futures market is the main source of market-wide information.

[The intraday lead-lag relation between returns of the Major Market cash index and returns of the Major Market Index futures and S&P 500 futures is investigated. Empirical results show strong evidence that the futures leads the cash index and weak evidence that the cash index leads the futures. The asymmetric lead-lag relation holds between the futures and all component stocks, including those that trade in almost every five-minute interval. Evidence indicates that when more stocks move together (market-wide information) the futures leads the cash index to a greater degree. This suggests that the futures market is the main source of market-wide information.]

This article analyzes the intraday interdependence of order flows and price movements for actively traded NYSE stocks and their Chicago Board Options Exchange (CBOE)-traded options. Stock net trade volume (buyer-initiated volume minus seller-initiated volume) has strong predictive ability for stock and option quote revisions, but option net trade volume has no incremental predictive ability. This suggests that informed investors initiate trades in the stock market but not in the option market. On the other hand, both stock and option quote revisions have predictive ability for each other. Thus, while information in the stock market is contained in both quote revisions and trades, information in the option market is contained only in quote revisions.

[We examine the intraday relationship between returns and returns volatility in the stock index and stock index futures markets. Our results indicate a strong intermarket dependence in the volatility of the cash and futures returns. Price innovations that originate in either the stock or futures markets can predict the future volatility in the other market. We show that this relationship persists even during periods in which the dependence in the returns themselves appears to weaken. The findings are robust to controlling for potential market frictions such as asynchronous trading in the stock index. Our results have implications for understanding the pattern of information flows between the two markets.]

This article analyzes the intraday interdependence of order flows and price movements for actively traded NYSE stocks and their Chicago Board Options Exchange (CBOE)-traded options. Stock net trade volume (buyer-initiated volume minus seller-initiated volume) has strong predictive ability for stock and option quote revisions, but option net trade volume has no incremental predictive ability. This suggests that informed investors initiate trades in the stock market but not in the option market. On the other hand, both stock and option quote revisions have predictive ability for each other. Thus, while information in the stock market is contained in both quote revisions and trades, information in the option market is contained only in quote revisions.

We examine the intraday relationship between returns and returns volatility in the stock index and stock index futures markets. Our results indicate a strong intermarket dependence in the volatility of the cash and futures returns. Price innovations that originate in either the stock or futures markets can predict the future volatility in the other market. We show that this relationship persists even during periods in which the dependence in the returns themselves appears to weaken. The findings are robust to controlling for potential market frictions such as asynchronous trading in the stock index. Our results have implications for understanding the pattern of information flows between the two markets.

The Society for Financial Society (SFS) is a global, nonprofit academic society in finance. It owns and runs three academic journals: (1) the Review of Asset Pricing Studies, (2) the Review of Corporate Finance Studies, and (3) the Review of Financial Studies. It also organizes two annual academic conferences: (1) the SFS Cavalcade Asia-Pacific and (2) the SFS Cavalcade North America. It also runs several smaller, specialized conferences and financially supports and co-sponsors other independent conferences. Its governing board is the SFS Council. This annual report provides an overview of SFS activities during 2019-2020, including all three journals, both Cavalcade conferences, and the SFS financial and policy report. The purpose of this annual report is to share this information more broadly with SFS members and friends and to create a permanent record for the long-run (i.e., institutional memory).