Price discovery in the S&P 500 index derivatives markets

This study sets out to examine the dynamics of price discovery between the S&P 500 index and its derivative products: the index futures, the index options, the S&P 500 exchange-traded funds (SPDRs), and the SPDR options. Empirical results reveal that overall the contribution of SPDRs to pric...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	International review of economics & finance 2016-09, Vol.45, p.438-452
Hauptverfasser:	Chen, Wei-Peng, Chung, Huimin, Lien, Donald
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithmic trading Derivatives Exchange traded funds Futures Hedging High-frequency trading Indexes Institutional ownership Price discovery S&P 500 index and derivative markets Stock prices Studies Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!