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標題:Standard & Poor's Depositary Receipts and the Market Quality of S&P 500 Index Futures
學年91
學期1
發表日期2002/12/20
作品名稱Standard & Poor's Depositary Receipts and the Market Quality of S&P 500 Index Futures
作品名稱(其他語言)
著者Chu, Quentin C.; Kayali, Mustafa Mesut
作品所屬單位淡江大學財務金融學系
出版者
會議名稱財經情勢及衍生性產品研討會
會議地點新北市, 臺灣
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.
關鍵字市場品質;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
語言英文
收錄於
會議性質國內
校內研討會地點
研討會時間20021220~20021220
通訊作者
國別中華民國
公開徵稿Y
出版型式紙本
出處財經情勢及衍生性產品研討會論文集頁289-315
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