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    題名: Standard & Poor's Depositary Receipts and the Market Quality of S&P 500 Index Futures
    作者: Chu, Quentin C.;Kayali, Mustafa Mesut
    貢獻者: 淡江大學財務金融學系
    關鍵詞: 市場品質;指數期貨;存託憑證;向量自我迴歸;史坦普指數;Market Quality;Index Futures;Depositary Receipt;Vector Autoregression;Standard & Poor Index
    日期: 2002-12
    上傳時間: 2014-02-11 23:57:44 (UTC+8)
    摘要: This study examines the market quality of S&P 500 index futures in 150-day periods before and after the introduction of Standard & Poor's Depositary Receipts, SPDRs, on January 29, 1993. In a preliminary test of structure change, results fail to reject the null hypothesis that the empirical distributions of daily futures price changes in the two periods are the same. Market quality is measured by the deviation of observed prices from the unobserved implicit efficient price. A lower pricing error variance from a vector autoregression (VAR) model implies better market quality. Using tick-by-tick intra-day S&P 500 index futures price data, we find a lower pricing error standard deviation of 0.26 percent in the post-SPDR period than in the pre-SPDR period (0.32 percent). This finding indicates an improvement in the quality of the S&P 500 index futures market following the introduction of SPDRs attributable to improvement in the microstructure of the market. As SPDRs facilitate index arbitrage, adjustment of prices in the index futures market takes less time, leading to lower pricing error variance, or improved market quality. In the post-SPDR, we apply a vector error correction model (VECM) to two pairs of intra-day(futures, index) prices and (futures, SPDR) prices. The VECM approach shows better quality in the S&P 500 index futures market form its arbitrage relationship with SPDRs. We conclude that it is this arbitrage relationship between index futures and SPDRs that improved S&P 500 index futures market quality after the introduction of SPDRs.
    關聯: 財經情勢及衍生性產品研討會論文集,頁289-315
    顯示於類別:[財務金融學系暨研究所] 會議論文


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