標題: DECIMALIZATION, ETFs AND FUTURES PRICING EFFICIENCY
作者: Chen, Wie-Peng
Chou, Robin K.
Chung, Huimin
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
公開日期: 1-二月-2009
摘要: This study investigates the impact of decimalization (penny pricing) on the arbitrage relationship between index exchange-traded funds and E-mini index futures. The empirical results reveal that subsequent to penny pricing, there is a significant fall in the mean ex ante arbitrage profit, especially in the cases with higher transaction costs. Using the ordinary least squares and quantile regressions to control for the influences of change in other market characteristics, it is found that the overall pricing efficiency has deteriorated in the post-decimalization period. These results are consistent with the hypothesis that, due to the lowered market depth and increased execution risks, the introduction of decimalization has in general resulted in weakening the ability and the willingness of arbitrageurs to initiate arbitrage trades, which subsequently leads to a reduction in the general efficiency of the cash/futures pricing system. (C) 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:157-178, 2009
URI: http://dx.doi.org/10.1002/fut.20357
http://hdl.handle.net/11536/14194
ISSN: 0270-7314
DOI: 10.1002/fut.20357
期刊: JOURNAL OF FUTURES MARKETS
Volume: 29
Issue: 2
起始頁: 157
結束頁: 178
顯示於類別:期刊論文


文件中的檔案:

  1. 000261907300004.pdf