Standard & Poor's depositary receipts and the market quality of S&P 500 index futures

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 empir...

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Veröffentlicht in:	Applied econometrics and international development 2006-09, Vol.6 (3), p.107-118
Hauptverfasser:	Chu, Q.Ca, Kayali, M M
Format:	Artikel
Sprache:	eng
Schlagworte:	Arbitrage Capital market Error correction models Futures Market efficiency Standard and Poor's Trade volume Vector-autoregressive models
Online-Zugang:	Volltext
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