Trades, Basis, and Price Revisions in the S&P Depositary Receipts
DOI:
https://doi.org/10.33423/jabe.v25i4.6363Keywords:
business, economics, trades, basis, S&P Depositary Receipts, trade informativeness, basis informativeness, Granger causalityAbstract
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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