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    題名: Pricing efficiency of the S&P 500 index market: Evidence from the Standard & Poor's Depositary Receipts
    作者: Chu, Quentin C.;謝文良;Hsieh, Wen-liang
    貢獻者: 淡江大學財務金融學系
    日期: 2002-09
    上傳時間: 2009-11-30 17:51:43 (UTC+8)
    出版者: John Wiley & Sons
    摘要: Standard & Poor's Depositary Receipts (SPDRs) are exchange traded securities representing a portfolio of S&P 500 stocks. They allow investors to track the spot portfolio and better engage in index arbitrage. We tested the impact of the introduction of SPDRs on the efficiency of the S&P 500 index market. Ex-post pricing efficiency and ex-ante arbitrage profit between SPDRs and futures were also examined. We found an improved efficiency in the S&P 500 index market after the start of SPDRs trading. Specifically, the frequency and length of lower boundary violations have declined since SPDRs began trading. This result is consistent with the hypothesis that SPDRs facilitate short arbitrage by simplifying the process of shorting the cash index against futures. Tests of pricing efficiency comparing SPDRs and futures suggested that index arbitrage using SPDRs as a substitute for program trading in general results in losses. Although short arbitrages earn a small profit on average, gains are statistically insignificant. A trade-by-trade investigation showed that prices are instantaneously corrected after the presence of mispricing signals, introducing substantial risk in arbitraging. Evidence in general supported pricing efficiency between SPDRs and the S&P 500 index futures—both ex-post and ex-ante.
    關聯: Journal of futures Markets 22(9), pp.877-900
    DOI: 10.1002/fut.10037
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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