TY  - UNPD
A1  - Theissen, Erik
T1  - Price discovery in spot and futures markets: a reconsideration
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2009,27
N2  - We 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.
T3  - CFS working paper series - 2009, 27 
KW  - Futures Markets
KW  - Threshold Error Correction
KW  - Information Shares
KW  - Common Factor Weights
KW  - Preisbildung
KW  - Kassamarkt
KW  - Terminmarkt
Y1  - 2009
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/7385
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-73571
ER  -