تجزیه و تحلیل دی جی آی ای، اس و پی 500، اس و پی 400، ناسداک 100 و راسل ای تی اف 2000 و تاثیر آنها بر کشف قیمت

This study examines the temporal behavior of price discovery in the spot, ETF and futures markets of the DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000. We document an increasing trend in the price discovery metrics of exchange traded funds for all indexes but the DJIA. Contrary to past studies, our findings show that the spot market rather than the futures market leads the price discovery. The arbitrage process that links exchange traded funds to spot prices, and not the futures prices might explain the results. This daily arbitrage that ensures exchange traded funds prices equal net asset values appear to promote spot market price discovery especially with the popularity of exchange traded funds in more recent years. We additionally document that the temporal behavior of the exchange traded funds price discovery metric affects differently price discovery in the spot and futures markets across indexes.

This study extends past research on price discovery in three ways: (1) by employing Gonzalo and Granger (1995) and Hasbrouck (1995) information share methodologies, (2) by allowing for temporal changes in information shares of spot, futures and ETF markets and (3) by examining five indexes, the Dow Jones Industrial Average (DJIA), S&P 500, S&P 400, NASDAQ 100 and Russell 2000 (with ticker symbols DIA, SPY, MDY, QQQQ and IWM, respectively). Moreover, with the rising popularity of ETFs, this study examines whether ETFs have generated a temporal change in the price discovery in these markets. While earlier studies use 1990 ETF data when ETFs began trading, by the end of March 2011 there have been 986 ETFs that managed $1.055 trillion of assets.2 We find that the rising significance of ETFs has provided an important price discovery role in the market and has influenced the dynamics of price discovery in the spot market. In fact, contrary to the findings of Chu, Hsieh, and Tse (1999) we find that the spot market consistently dominates the futures and ETF markets in price discovery. The reason for the different findings might be attributed to the extended time period of this study and the rising popularity of ETFs. Chu et al. (1999) use one year of intradaily data starting on January 29, 1993, when the S&P 500 ETF was introduced whereas we examine a period spanning several years — starting in 1998 and ending on March 18, 2011.3 Therefore, the more current and extensive time period examined in this study may help to understand the temporal dynamics of price discovery between spot, futures, and ETF prices. Our findings support aspects of past studies, showing that in the 1990s the S&P 500 futures market dominates. However, in January 2001 until the end of the examined period (March 2011) the leadership role abruptly reverses to spot market domination. A possible explanation for the reversal in the dominant market to spot rather than futures market might be due to the process of ETF creation and redemption, which provides an arbitrage opportunity between ETFs and the spot market.4 To help understand the reasons for the spot market dominance a more detailed explanation of the ETF creation and redemption process is provided in a later section. The findings of this study are robust with respect to temporal changes in the information shares of ETFs, spot and futures contracts in the five indexes. The temporal behavior of information shares has not been examined in past studies of financial market price discovery, and contributes to the literature. The results of this study suggest that price discovery changes across time and, thus, care must be taken when shorter periods are analyzed. We additionally document that the temporal behavior of the ETF price discovery metric affects differently price discovery in the spot and futures markets across indexes. The structure of the paper is as follows. Section 1 provides a literature review. Section 2 presents the methodology for the paper. Section 3 describes the data used in the paper. Section 4 provides the basic results and Section 5 provides possible reasons for the findings. Section 6 discusses the temporal dynamics of ETF information shares and Section 7 offers concluding remarks.

This study extends the past studies by Chu et al. (1999), Chou and Chung (2006), Tse et al. (2006) and Fung et al. (2008). We study the DJIA, NASDAQ 100, S&P 500, Russell 2000 and S&P 400 ETF information shares in relation to their respective futures and underlying index information shares across time. The Gonzalo and Granger (1995) (permanent-transitory components) and Hasbrouck (1995) (information shares) methodologies are applied to intradaily data to determine whether the introduction of ETFs has changed the price discovery in financial markets in recent times, and whether the market structures have changed over time. There is no agreement in the literature which market dominates, the futures or the spot market, despite the numerous empirical studies in the field. This, to a certain extent, supports the strong theoretical arguments suggesting that the futures market should provide the leadership. In theory it is argued that informed traders are motivated to participate in the futures not the spot market. However, since the introduction of ETFs, we find a consistently increasing role in the price discovery process of the ETF market across time. The increased role of the ETF may explain the observed reversal in the dominant market from the futures market to the spot market. The arbitrage mechanism of creating and redeeming ETF units ensures that the ETF replicates the performance of the underlying index. Because the process of ETF creation and redemption involves the spot market and not the futures market we propose that this process helps explain the consistent increase in the spot market price discovery and the subsequent decline in the price discovery of the futures market over time. We document that the impact of ETF trading has affected price discovery differently across indexes. We find that the temporal behavior of the S&P 500, S&P 400 and Russell 2000 ETF price discovery is affecting negatively the temporal behavior of the futures price discovery and positively the temporal behavior of the respective price discovery in the spot market. The results are the opposite for the DJIA ETF and futures and spot market. For the NDX ETF the temporal behavior of its price discovery is positively related to the temporal behavior of the price discovery of both the NDX spot and NDX futures markets. A natural extension of this study is analyzing price discovery at even higher frequency level than the one minute interval used in the study. There are multiple data sources today which aggregate and provide data on millisecond interval level. A study based on the millisecond level will be of particular interest to high frequency traders. As of the writing of this paper such high frequency data on spot, ETF and futures instruments were not available but might be pursued in a future research.