برآورد بدون جانبدارای،کشف قیمت و بهره وری بازار : قیمتهای آینده و قیمتهای لحظه ای
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|15664||2008||8 صفحه PDF||سفارش دهید||6039 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Systems Engineering - Theory & Practice, Volume 28, Issue 8, August 2008, Pages 2–11
In most cases, futures prices are not unbiased estimates of future spot prices. The price discovery function of futures markets should be defined as the lead-lag relationship between current futures prices and current spot prices, not the unbiased estimation of future spot prices. The pricing efficiency and information efficiency of futures markets are different. Three empirical models appropriate to investigate the relationship between futures prices and spot prices were discussed. As an application, these models were used to test the pricing efficiency, the lead-lag relationship, and the information efficiency of the S&P 500 index spot and futures markets from 21 September 1990 to 20 December 2007.
نتیجه گیری انگلیسی
In this article, we clarify some misunderstandings about the relationship between futures prices and spot prices and illustrate the correct relationship patterns and the appropriate empirical models. We illustrate that in most cases, current futures prices are not unbiased estimates of future spot prices. We redefine the function of “price discovery” of futures markets as the leading role in the reactions to new information. We propose that the pricing efficiency and the information efficiency of futures market are different. Investigating the relationship between current futures prices and future spot prices will not provide us reliable evidence about the market efficiency and the function of price discovery of futures markets. In addition, three empirical models appropriate to investigate the relationship between futures prices and spot prices are discussed. Finally, an empirical study on the data of S&P 500 index spot and futures from 21 September 1990 to 20 December 2007 was carried out, and the results are consistent with the above arguments