S&P 500 futures fell further than the underlying index did on Black Monday.

Evidence

During the day, America’s financial markets had crashed. The Dow Jones industrial average had plummeted 22.6 percent. The Standard and Poor’s (S&P) 500 index had lost about 20 percent. Futures on the S&P 500 were traded on the Mercantile Exchange, and they should have moved in tandem with the index. Instead, they had “disconnected,” falling 29 percent Jackwerth and Rubinstein 1996, p. 1611). — Donald MacKenzie, An Engine, Not a Camera, 18

Categorization

• XREF: connects to: Index futures initially traded below theoretical value until arbitrageurs pegged them — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 782

Broader Connections

• Index futures initially traded below theoretical value until arbitrageurs pegged them #corroborates (0.85) — Donald MacKenzie, An Engine, Not a Camera, 782