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...

This study examines the market quality of S&P 500 index futures in 150-day periods before and after the introduction of Standard & Poor’s Depositary Receipts, SPDRs, on January 29, 1993. In a preliminary test of structure change, results fail to reject the null hypothesis that the empirical...