Economics at your fingertips  

Standard and Poor’s depository receipts and the performance of the S&P 500 index futures market

Lorne Switzer (), Paula L. Varson and Samia Zghidi

Journal of Futures Markets, 2000, vol. 20, issue 8, 705-716

Abstract: In response to the need for a simple financial instrument that enables retail investors to participate easily and quickly in the U.S. equity market and that facilitates basket trading by institutions, the American Stock Exchange introduced Standard and Poor’s Depository Receipts (SPDRs) on January 29, 1993. The purpose of this study is to determine the effects of the introduction of SPDRs on the pricing efficiency of the S&P futures market. Using a measure of efficiency that is based on the difference between the observed futures price and the theoretical futures price based on the Cost of Carry Model, as well as daily and intradaily data for the period January 2, 1990 through June 3, 1996, we found that some positive mispricing was reduced when SPDR’s were introduced. While dividend yield and time‐to‐maturity biases remained, SPDRs trading was shown to mitigate the extent of pricing errors that prevailed, and reduced the effects of dividend yield and time‐to‐maturity biases found for these contracts. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:705–716, 2000

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2020-08-09
Handle: RePEc:wly:jfutmk:v:20:y:2000:i:8:p:705-716