Incremental information of stock indicators

•Stock market indicators have different distributional volatility properties to spot and futures indices.•Negative and significant correlations between indicators and either spot or futures indices•Indicators' returns significantly explain volatility of spot or futures indices in good and bad news.•The lagged indicator volatility significantly and asymmetrically explains correlations.•The heterogeneous and jumps of indicators' volatility explain volatility and correlations as well.

The present paper is the first to examine the incremental information of stock indicators in the spot and futures stock markets. The properties of volatility series of indicators in relation to spot and futures stock indices are examined. Correlations between either the spot or futures stock indices and the corresponding indicators are examined for their properties. The asymmetry, heterogeneity and jump properties of volatilities and correlations are studied. Indicators offer information not captured in the corresponding futures and spot stock indices. Volatility and correlation in the stock market are accurately in-sample predicted via asymmetric and HAR models. The inclusion of indicators improves the in-sample modeling of volatility and correlation in the stock market.