The Study of Price Discovery in ETFs and Market Index: an Analysis of S&P 500 and SPDRs
碩士 === 中國文化大學 === 國際貿易學系碩士班 === 94 === Many researchers has used different ETFs data to research the price discovery rela-tionship between ETFs market index. Most conclusions are the price of futures lead to market index. Because of the different sample and ETFs, the ETFs didn’t have exactly price d...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/61585921608476221912 |
| Summary: | 碩士 === 中國文化大學 === 國際貿易學系碩士班 === 94 === Many researchers has used different ETFs data to research the price discovery rela-tionship between ETFs market index. Most conclusions are the price of futures lead to market index. Because of the different sample and ETFs, the ETFs didn’t have exactly price discovery relationship. The article focuses on S&P 500and SPDRs to research price relationship. The research period is during Jan.2 2004 to Apr.18 2006.there are 578 daily data except for holidays.
We used the method of cointegration test and Granger causality test to exam for their price discovery relationship. And then we use the impulse response function to analyses which the ETFs and the market index fluctuating each other. The last , we use the variance decomposition to analyses the same thing as above.
The conclusion is the cointegration relationship in S&P 500 and SPDRs. It maens that their prices will go the same direction in the long run. The Granger causality test results show the price discovery relationship is a feedback relationship with six lag pe-riods. The result of variance decomposition can interpret about 90%variance of the S&P 500index, whether the variance came from S&P 500 index and SPDRs.
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