Title: Has the introduction of S&P 500 ETF options LED to improvements in price discovery of SPDRs?
Authors: Chen, Wei-Peng
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
Issue Date: 1-Jul-2012
Abstract: This study sets out to investigate trading in Standard and Poor's Depository Receipt Trust Series I (SPDR) options and the impact on the price-discovery process of SPDRs. The empirical results reveal a significant rise in liquidity within the SPDR market following the introduction of SPDR options. Furthermore, the results also show that the introduction of SPDR options has led to a significant improvement in the information share of SPDRs, and that the contribution of SPDRs to price discovery has become very close to that of E-mini index futures. These findings imply that developments in the derivatives market can lead to improvements in market quality, including the level of liquidity and price discovery of the underlying securities. (C) 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:683711, 2012
URI: http://hdl.handle.net/11536/16212
ISSN: 0270-7314
Journal: JOURNAL OF FUTURES MARKETS
Volume: 32
Issue: 7
End Page: 683
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