1.   Capital Market theory implies that, for index futures, there is a risk premium.

2.   Daily implied volatility estimates were made from the closing prices of options on index futures.

3.   In this context, capital Market theory is used to derive an expression for the risk premium of index futures.

4.   Therefore, it is likely that subsequent empirical studies will confirm this negative relationship for index futures.

5.   Ultimately, the effect of the introduction of index futures on the information content of share prices is an empirical matter.

6.   Index arbitrage is used to gain risk-free profits from short-term differences in the price of the index futures and the underlying shares.

7.   With prices falling, the stock index futures were below underlying share prices so index arbitrageurs sold shares and bought futures.

8.   And a drop in American stock index futures, which trade during the night, indicated traders expected further drops in the United States.

9.   Armitage is a stock picker, making bets on shares he expects to rise or fall sharply, while minimizing volatility by using stock index futures.