Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/43243 
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dc.contributor.authorTheissen, Eriken
dc.date.accessioned2010-03-29-
dc.date.accessioned2010-12-15T09:22:24Z-
dc.date.available2010-12-15T09:22:24Z-
dc.date.issued2009-
dc.identifier.piurn:nbn:de:hebis:30-73571en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2009/27en
dc.subject.jelG13en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordFutures Marketsen
dc.subject.keywordThreshold Error Correctionen
dc.subject.keywordInformation Sharesen
dc.subject.keywordCommon Factor Weightsen
dc.subject.stwSpotmarkten
dc.subject.stwTermingeschäften
dc.subject.stwElektronisches Handelssystemen
dc.subject.stwPreisen
dc.subject.stwMikrostrukturanalyseen
dc.subject.stwFehlerkorrekturmodellen
dc.titlePrice discovery in spot and futures markets: A reconsideration-
dc.typeWorking Paperen
dc.identifier.ppn622759639en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200927en

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