美国股票和衍生品市场价格发现的演变

Financial Stability 1 Pub Date : 2014-11-07 DOI:10.2139/ssrn.2485022

Damien Wallace, P. Kalev, Guanhua Lian

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引用次数: 14

摘要

本文研究了基于标准普尔500指数的两种流行证券，即标准普尔500 E-mini期货和SPDR交易所交易基金(股票代码SPY)在2002年1月至2013年12月期间的价格发现部分的变化。我们展示了这两种证券在这段时间内价格发现的显著变化。在2007年之前，E-mini期货在价格发现方面占据主导地位，不过一直在稳步下降。2007年以后，SPY ETF主导了价格发现过程。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Evolution of Price Discovery in US Equity and Derivatives Markets

This paper investigates changes in the price discovery portions for two popular securities based on the S&P 500 index, namely the S&P 500 E-mini futures and the SPDR Exchange Traded Fund (Ticker SPY) for the period Jan 2002 through Dec 2013. We show a significant change in the price discovery of these two securities over this period. The E-mini futures are dominant for price discovery until 2007, though on a steady decline. After 2007 the SPY ETF dominates the price discovery process.

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来源期刊

Financial Stability 1

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