## Abstract Standard & Poor's Depositary Receipts (SPDRs) are exchange traded securities representing a portfolio of S&P 500 stocks. They allow investors to track the spot portfolio and better engage in index arbitrage. We tested the impact of the introduction of SPDRs on the efficiency of the S&P
Standard and Poor’s depository receipts and the performance of the S&P 500 index futures market
✍ Scribed by Lorne N. Switzer; Paula L. Varson; Samia Zghidi
- Publisher
- John Wiley and Sons
- Year
- 2000
- Tongue
- English
- Weight
- 99 KB
- Volume
- 20
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
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## Abstract This study examines factors affecting stock index spot versus futures pricing and arbitrage opportunities by using the S&P 500 cash index and the S&P 500 Standard and Poor's Depository Receipt (SPDR) Exchange‐Traded Fund (ETF) as “underlying cash assets.” Potential limits to arbitrage w
Given that both S&P 500 index and VIX options essentially contain information about the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility, and dens
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