{"title":"期货交易对现货市场买卖价差的影响","authors":"Silvia Gerber, P. Simmons","doi":"10.1111/1467-9957.00090","DOIUrl":null,"url":null,"abstract":"This paper analyzes how the presence of a futures market gives risk averse dealers in the spot asset opportunities for arbitrage that reduces the spot market bid-ask spread through reducing the dealers risk exposure. In particular, if the spot and futures risks are perfectly correlated then the spot bid-ask spread is zero in equilibrium and all spot dealer risk can be diversified away. The paper also analyzes the equilibrium futures price in this two market scenario. Copyright 1998 by Blackwell Publishers Ltd and The Victoria University of Manchester","PeriodicalId":83172,"journal":{"name":"The Manchester school of economic and social studies","volume":"67 1","pages":"87-99"},"PeriodicalIF":0.0000,"publicationDate":"1998-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Effects of Futures Trading on the Spot Market Bid-Ask Spread\",\"authors\":\"Silvia Gerber, P. Simmons\",\"doi\":\"10.1111/1467-9957.00090\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper analyzes how the presence of a futures market gives risk averse dealers in the spot asset opportunities for arbitrage that reduces the spot market bid-ask spread through reducing the dealers risk exposure. In particular, if the spot and futures risks are perfectly correlated then the spot bid-ask spread is zero in equilibrium and all spot dealer risk can be diversified away. The paper also analyzes the equilibrium futures price in this two market scenario. Copyright 1998 by Blackwell Publishers Ltd and The Victoria University of Manchester\",\"PeriodicalId\":83172,\"journal\":{\"name\":\"The Manchester school of economic and social studies\",\"volume\":\"67 1\",\"pages\":\"87-99\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"1998-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The Manchester school of economic and social studies\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/1467-9957.00090\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The Manchester school of economic and social studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/1467-9957.00090","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Effects of Futures Trading on the Spot Market Bid-Ask Spread
This paper analyzes how the presence of a futures market gives risk averse dealers in the spot asset opportunities for arbitrage that reduces the spot market bid-ask spread through reducing the dealers risk exposure. In particular, if the spot and futures risks are perfectly correlated then the spot bid-ask spread is zero in equilibrium and all spot dealer risk can be diversified away. The paper also analyzes the equilibrium futures price in this two market scenario. Copyright 1998 by Blackwell Publishers Ltd and The Victoria University of Manchester
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