PRICE DISCOVERY AND INVESTOR STRUCTURE IN STOCK INDEX FUTURES

被引：110

作者：

Bohl, Martin T. ^{[1
]}

Salm, Christian A. ^{[1
]}

Schuppli, Michael ^{[1
]}

机构：

[1] Univ Munster, Dept Econ, D-48143 Munster, Germany

来源：

JOURNAL OF FUTURES MARKETS | 2011年 / 31卷 / 03期

关键词：

INSTITUTIONAL INVESTORS; VOLATILITY SPILLOVERS; CROSS-SECTION; MARKETS; SPOT; COINTEGRATION; MOMENTUM; CASH; DYNAMICS; BEHAVIOR;

D O I：

10.1002/fut.20469

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time-varying spot-futures linkages studied within a VECM-DCC-GARCH framework to changes in the investor structure of the futures market over time. Empirical results suggest that during the dominance of presumably uninformed private investors, the futures market does not contribute to price discovery. By contrast, there is evidence of information flows from futures to spot markets and a significant increase in conditional correlation between both markets as institutional investors' share in trading volume increases. We derive implications for the design of emerging futures markets. (C) 2010 Wiley Periodicals, Inc. Jrl Fut Mark31:282-306, 2011

引用

页码：282 / 306

页数：25

共 65 条

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