Analysis of DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery

被引:39
作者
Ivanov, Stoyu I. [1 ]
Jones, Frank J. [1 ]
Zaima, Janis K. [2 ]
机构
[1] San Jose State Univ, Dept Accounting & Finance, Coll Business, San Jose, CA 95192 USA
[2] Menlo Coll, Atherton, CA 94027 USA
关键词
ETF market; Futures market; Spot market; Price discovery;
D O I
10.1016/j.gfj.2013.10.005
中图分类号
F8 [财政、金融];
学科分类号
0202 [应用经济学];
摘要
This study examines the temporal behavior of price discovery in the spot, ETF and futures markets of the DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000. We document an increasing trend in the price discovery metrics of exchange traded funds for all indexes but the DJIA. Contrary to past studies, our findings show that the spot market rather than the futures market leads the price discovery. The arbitrage process that links exchange traded funds to spot prices, and not the futures prices might explain the results. This daily arbitrage that ensures exchange traded funds prices equal net asset values appear to promote spot market price discovery especially with the popularity of exchange traded funds in more recent years. We additionally document that the temporal behavior of the exchange traded funds price discovery metric affects differently price discovery in the spot and futures markets across indexes. (C) 2013 Elsevier Inc. All rights reserved.
引用
收藏
页码:171 / 187
页数:17
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