4Garbade K D, Silber W L. Price movement and price discovery in futures and cash markets[J]. Review of Economics and Statistics, 1983, (65) : 289-297.
5Kawaller I G, Koch P D, Koch T W. The temporal price relationship between S&P 500 futures and the S&P 500 index[J]. Journal of Finance,1987, (42): 1309-1329.
6Brooks C, Rew A G, Ritson S. A trading strategy based on the lead-lag relationship between the spot index and futures contract for the FTSE 100[J]. International Journal of Forecasting, 2001, (17) : 31- 44.
7Baillie R T, Booth G G, Tse Y, Zabotina T. Price discovery and common factor models[J]. Journal of Financial Markets, 2002, (5) : 309 - 321.
8Hasbrouck J. Stalking the "efficient price" in market microstructure specifications : an overview[J]. Journal of Financial Markets, 2002, (5) : 329 - 339.
9Booth G G, So R W, Tse Y. Price discovery in the German equity index derivatives markets[J].Journal of Futures Markets,1999, (19):619-643.
10Hasbrouck J. Intraday price formation in U. S. equity index markets[J]. Journal of Finance, 2003, (58) : 2375-2400.