Trades, Basis, and Price Revisions in the S&P Depositary Receipts

Authors

  • Dan Zhou California State University, Bakersfield

DOI:

https://doi.org/10.33423/jabe.v25i4.6363

Keywords:

business, economics, trades, basis, S&P Depositary Receipts, trade informativeness, basis informativeness, Granger causality

Abstract

Standard and Poor’s Depositary Receipts (SPDRs) are traded like a stock to track the performance of S&P 500 index, and there exists contemporaneous trading of S&P 500 index futures to track the same index portfolio. The basis reveals the instantaneous price difference of the S&P 500 index portfolio observed in index futures and SPDRs. This study finds that the basis conveys more information than trades for the intra-day quote price revisions in the SPDRs, and our findings are consistent with a price revision process that the basis transmits innovative information from futures prices and induces permanent price changes in the SPDRs.

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Published

2023-08-30

How to Cite

Zhou, D. (2023). Trades, Basis, and Price Revisions in the S&P Depositary Receipts. Journal of Applied Business and Economics, 25(4). https://doi.org/10.33423/jabe.v25i4.6363

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Section

Articles