Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs

Yiuman Tse; Quentin C. Chu; Wen-Iiang Gideon Hsieh

Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs

Yiuman Tse, Quentin C. Chu, Wen-Iiang Gideon Hsieh

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	International Review of Financial Analysis
Volume	8
State	Published - 1999

Disciplines

Business

Cite this

@article{6b93f81407e748dbbca91d0af0aab7dc,

title = "Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs",

author = "Yiuman Tse and Chu, {Quentin C.} and Hsieh, {Wen-Iiang Gideon}",

note = "This paper investigates the price discovery function in three S&P 500 index markets: the spot index, index futures, and S&P Depositary Receipts market...",

year = "1999",

language = "American English",

volume = "8",

journal = "International Review of Financial Analysis",

}

TY - JOUR

T1 - Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs

AU - Tse, Yiuman

AU - Chu, Quentin C.

AU - Hsieh, Wen-Iiang Gideon

N1 - This paper investigates the price discovery function in three S&P 500 index markets: the spot index, index futures, and S&P Depositary Receipts market...

PY - 1999

Y1 - 1999

UR - https://www.sciencedirect.com/science/article/pii/S1057521999000034

M3 - Article

VL - 8

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

ER -

Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures, and SPDRs

Disciplines

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Cite this