Journal Article A Symposium on Monetary Theory: On the Invariance of Demand for Cash and other Assets Get access R. W. Clower, R. W. Clower Northwestern Search for other works by this author on: Oxford Academic Google Scholar M. L. Burstein M. L. Burstein Northwestern Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 28, Issue 1, October 1960, Pages 32–36, https://doi.org/10.2307/2296247 Published: 01 October 1960

In rational, efficiently functioning and complete markets, returns on derivative and underlying securities should be perfectly contemporaneously correlated. Due to market imperfections, one of these markets may reflect information faster. The use of high-frequency data and the choice for a small unit time interval to measure these lead-lag relations comes at the cost of some or many missing observations, causing traditional estimators to either under- or overestimate covariances and correlations. We use a new estimator to estimate lead-lag relationships between the cash AEX index, options and futures. We find that futures returns lead both options and cash index returns by approximately 10 minutes. The relationship between options and the cash market is not completely unidirectional.

W. M. Taylor, The Resolution of Claims in Financial Distress the Case of Massey Ferguson: Discussion, The Journal of Finance, Vol. 38, No. 2, Papers and Proceedings Forty-First Annual Meeting American Finance Association New York, N.Y. December 28-30, 1982 (May, 1983), pp. 522-523