Price discovery in spot and futures markets: a reconsideration

被引：50

作者：

Theissen, Erik ^{[1
]}

机构：

[1] Univ Mannheim, Finance Area, D-68131 Mannheim, Germany

来源：

EUROPEAN JOURNAL OF FINANCE | 2012年 / 18卷 / 10期

关键词：

price discovery; futures markets; threshold error correction; common factor weights; STOCK INDEX FUTURES; ARBITRAGE; INFORMATION; CASH; COINTEGRATION; COMPONENTS; DYNAMICS; RETURNS; COSTS;

D O I：

10.1080/1351847X.2011.601643

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage opportunities to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying transaction costs. We find that (a) the futures market leads in the process of price discovery and (b) the presence of arbitrage opportunities has a strong impact on the dynamics of the price discovery process.

引用

页码：969 / 987

页数：19

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