Informational Efficiency and Spurious Spillover Effects between Spot and Derivatives Markets
Abstract
Research on the relationship between spot and derivatives markets has attracted the interest of many economists and financial analysts. According to many researchers there exists a puzzle regarding the lead-lag effect and the causality of possible spillover effects between these markets. Derivatives markets should produce the means for price discovery with a leading role in the transmission of new information. Thus, the standalone examination of...
Paper Details
Title
Informational Efficiency and Spurious Spillover Effects between Spot and Derivatives Markets
Published Date
Jan 1, 2009
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