Price discovery in spot and futures markets: a reconsideration
Price discovery in spot and futures markets: a reconsideration
复制标题
DOI：
10.1080/1351847x.2011.601643
复制
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
我们重新考虑现货和期货市场的价格发现问题。我们使用一个阈值误差修正模型，允许套利机会对回报动态产生影响。我们使用报价中点估计模型，并修改模型以考虑随时间变化的交易成本。我们发现：（a）期货市场在价格发现过程中处于领先地位;（B）套利机会的存在对价格发现过程的动态性有很强的影响。
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.