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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/120815

    Title: 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
    Authors: Lin, Chu-Bin
    Chou, Robin K.
    Wang, George H.K.
    Contributors: 風管系
    Keywords: Information shares;Investor sentiment;Lead lag relation;Limits to arbitrage;Price discovery
    Date: 2018-05
    Issue Date: 2018-10-30 17:27:20 (UTC+8)
    Abstract: 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.
    Relation: JOURNAL OF BANKING & FINANCE, 90, 17-31
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.jbankfin.2018.02.014
    DOI: 10.1016/j.jbankfin.2018.02.014
    Appears in Collections:[風險管理與保險學系 ] 期刊論文

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