A Study of Price Discovery on the S&P 500 Index, Future and the ETF Markets

• Main Authors: Hung Hui Chuan, 洪惠娟
• Other Authors: Ming Jui Hsieh
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/68030851415707634825

碩士 === 淡江大學 === 財務金融學系 === 92 === Abstract: The purpose of this paper is to find out and compare with price discovery in three S&P500 index markets: the spot index, the index futures, and the ETF. We use every five minutes as intraday trading data and totally16894 transactions, dating widely from 1998/7/1 to 1999/7/1. In this paper, we demonstrate all data by unit roots test, cointegration test, error-correction models, variance decomposition and impulse response function. The results show below :Results indicate that the three price series are a cointegrated system with one long-run stochastic trend. In the short-term, a bi-directional information feedback process between the three markets. In the long-term, the three markets all adjust toward the equilibrium, and index futures adjust less that are more likely the dominant market. In error-correction system, this paper shows that index futures innovation weight more than other two markets in explaining the forecasting error. In impulse response function, all evidences suggest that the innovation from index futures effects more than other two markets.