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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/72720

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/72720

Title:	Decimalization, ETFs and Futures Pricing Efficiency
Authors:	Chen, Wei-Peng;Chou, Robin K.;Chung, Huimin 周冠男
Contributors:	財管系
Date:	2009-02
Issue Date:	2015-01-08 18:04:50 (UTC+8)
Abstract:	This study investigates the impact of decimalization (penny pricing) on the arbitrage relationship between index exchange-traded funds and E-mini index futures. The empirical results reveal that subsequent to penny pricing, there is a significant fall in the mean ex ante arbitrage profit, especially in the cases with higher transaction costs. Using the ordinary least squares and quantile regressions to control for the influences of changes in other market characteristics, it is found that the overall pricing efficiency has deteriorated in the post-decimalization period. These results are consistent with the hypothesis that, due to the lowered market depth and increased execution risks, the introduction of decimalization has in general resulted in weakening the ability and the willingness of arbitrageurs to initiate arbitrage trades, which subsequently leads to a reduction in the general efficiency of the cash/futures pricing system.
Relation:	Journal of Futures Markets, 29(2), 157-178
Data Type:	article
Appears in Collections:	[財務管理學系] 期刊論文

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