Price discovery on the S&P 500 index markets: An analysis of spot index, index futures, and SPDRs

International Review of Financial Analysis

Volumn 8, Issue 1, 1999, Pages 21-34

  Chua, Quentin C ^a   Hsieh, Wen liang Gideon ^b   Tse, Yiuman ^c  

^a UNIVERSITY OF MEMPHIS   (United States)

^b TAMKANG UNIVERSITY   (Taiwan)

^c BINGHAMTON UNIVERSITY   (United States)

Author keywords

Cointegration; Common factor; Error correction model; Price discovery; S P 500 index

Indexed keywords

EID: 0033475018     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/s1057-5219(99)00003-4     Document Type: Article

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