Chu, Quentin C.; Wen‐Liang Gideon Hsieh - In: Journal of Futures Markets 22 (2002) 9, pp. 877-900
Standard & Poor's Depositary Receipts (SPDRs) are exchange traded securities representing a portfolio of S&P 500 stocks. They allow investors to track the spot portfolio and better engage in index arbitrage. We tested the impact of the introduction of SPDRs on the efficiency of the S&P 500 index...