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https://ah.lib.nccu.edu.tw/handle/140.119/120815
題名: | Information shares Investor sentiment Lead-lag relation Limits to arbitrage Price discoveryInvestor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets | 作者: | Lin, Chu-Bin Chou, Robin K. 周冠男 Wang, George H.K. |
貢獻者: | 風管系 | 關鍵詞: | Information shares; Investor sentiment; Lead lag relation; Limits to arbitrage; Price discovery | 日期: | May-2018 | 上傳時間: | 30-Oct-2018 | 摘要: | This study examines the role of investor sentiment in the pricing dynamics between the spot and futures markets. The empirical evidence suggests that investor sentiment has a positive impact on price volatility and the bid-ask spread on both the spot and futures markets, which induces higher arbitrage risk and trading costs during high sentiment periods. Consequently, during high sentiment periods, informed traders become less willing to leverage their information advantages on the futures market, which diminishes the futures markets` leading informational role and contributions to price discovery. Our findings provide support for the theory of limits to arbitrage. (C) 2018 Elsevier B.V. All rights reserved. | 關聯: | JOURNAL OF BANKING & FINANCE, 90, 17-31 | 資料類型: | article | DOI: | http://dx.doi.org/10.1016/j.jbankfin.2018.02.014 |
Appears in Collections: | 期刊論文 |
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