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onsidering the newness of stock index futures, considerable analysis has been C done of the relationship between spot and futures indices, including some empirical examination of lead-lag relationships. However, most studies thus far have lacked objective measures of the timing relationship connecting the two series. This article presents results of a study conducted to provide an objective measure of this timing relationship. PREVIOUS, RELATED STUDIESZeckhauser and Niederhoffer (1983) looked at the early experience with market index futures and found indications that futures prices appear to have some ability to anticipate movements in the spot index, particularly in the near term. Their analysis consisted of computing the basis (difference between the price of the futures contract and the price of the spot index) at closing, a variable they call the premium. This variable was examined with three different movements in the spot price-to the next day open, to the next day close, and to the close three days later. Looking at the period of study as a whole, they found that the larger the premium, the greater is the tendency for the spot to rise. Kipnis and Tsang (1983) evaluated and compared risk characteristics of the various contracts and maturities and found daily futures price moves can be inconsistent with the market: NYSE and S&P 500 futures moved oppositely to the market 15% to 18% of the time, whereas Value Line futures were inconsistent 27% of the time. In addition to reflecting changes in carrying costs, they found that changes in the premium or discount of futures also appear to anticipate the forthcoming direction of the markets. AnthonyFurthermore, they note that the futures market tendency to lead the stock market is evident on an intra-day basis. One example they cite is the trade-by-trade, minute-by-minute chart of price movements for both the S&P 500 futures contract and the actual S&P 500 stock index on December 7, 1982. Simply by inspection of the two graphs, they suggest that peaks and troughs for the December futures contract lead stock market turns by about five to 20 minutes. However, they warn that futures prices are more volatile than the stock market, which implies that they are also vulnerable to many minor false moves which cannot be distinguished easily from real turns until after the fact.Modest and Sundaresan (1982) provide a comparative study of three stock index futures contracts and their price behavior. In a simplified perfect market setting, they show that for a value-weighted arithmetic index such as the S&P 500, the discounted futures price must equal the current spot price (adjusted for dividends) to prevent arbitrage. For a geometric index such as the Value Line, they show that the previous equality becomes an inequality. When transactions costs are recognized, the discounted futures prices can fluctuate within a bounded interval without giving rise to arbitrage profits.Grant (1982) argues that there is a difference in the pricing of market index futures contracts as compare...

Ederington showed that the optimal hedge ratio in most cases is significantly different from the traditional one-to-one ratio of futures to spot position holdings. He suggested that even pure risk minimizers should not hedge their entire spot portfolio but only a portion of it because minimum risk (i.e., variance) is achieved with a ratio of less than one-to-one.Franckle (1980) pointed out some errors in Ederington's study, among them that a two-week hedge of T-Bill futures was far more efficient than Ederington had shown. He extended Ederington's work by attempting to estimate the effects of changing maturities on the variance-minimizing hedge ratio in the T-Bill market, and found that by matching futures prices with the correct T-Bill prices the market could be shown to be much more effective than Ederington's results indicated. He also showed that a crucial assumption for using the model is a predetermined hedge period. Franckle indicated several reasons why the use of daily prices in a study of the futures market was superior to the use of weekly or monthly prices, such as Friday settlement. The most important among them is that the use of daily prices yields a higher estimate of the optimal hedge ratio and causes a larger reduction in the variance of the portfolio.

Examines the marketing concept (MC) and its foundation of customer orientation. Proposes that the General Electric Company promulgated MC and that this followed the Second World War, before being accepted formally by academics. States that the two major concepts are: that consumers know what they want; and that consumer sovereignty prevails. Believes marketers cannot take consumers as a given nor take them for granted and neither can manufacturers or they will also suffer. Questions whether consumers are always informed about products and what exactly they require and whether firms see themselves as merely responding to the market flow. States, in conclusion, that marketing communications can help shape wants and beliefs and that marketers should aim their best efforts at this area to enable better contacts.

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