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dc.contributor.authorTheissen, Eriken_US
dc.date.accessioned2010-03-29en_US
dc.date.accessioned2010-12-15T09:22:24Z-
dc.date.available2010-12-15T09:22:24Z-
dc.date.issued2009en_US
dc.identifier.piurn:nbn:de:hebis:30-73571-
dc.identifier.urihttp://hdl.handle.net/10419/43243-
dc.description.abstractWe reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage operations to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying transaction costs. We find that the futures market leads in the process of price discovery. The lead of the futures market is more pronounced in the presence of arbitrage signals. Thus, when the deviation between the spot and the futures market is large, the spot market tends to adjust to the futures market.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2009/27en_US
dc.subject.jelG13en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordFutures Marketsen_US
dc.subject.keywordThreshold Error Correctionen_US
dc.subject.keywordInformation Sharesen_US
dc.subject.keywordCommon Factor Weightsen_US
dc.subject.stwSpotmarkten_US
dc.subject.stwTermingeschäften_US
dc.subject.stwElektronisches Handelssystemen_US
dc.subject.stwPreisen_US
dc.subject.stwMikrostrukturanalyseen_US
dc.subject.stwFehlerkorrekturmodellen_US
dc.titlePrice discovery in spot and futures markets: A reconsiderationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn622759639en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:200927-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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