Price discovery in spot and futures markets: a reconsideration
Price discovery in spot and futures markets: a reconsideration
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DOI:
10.1080/1351847x.2011.601643
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发表时间:
2012-11
期刊:
影响因子:
--
通讯作者:
E. Theissen
中科院分区:
文献类型:
--
作者:
E. Theissen
We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage opportunities to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying transaction costs. We find that (a) the futures market leads in the process of price discovery and (b) the presence of arbitrage opportunities has a strong impact on the dynamics of the price discovery process.