Message traffic restrictions and relative pricing efficiency: Evidence from index futures contracts and exchange-traded funds

Author First name, Last name, Institution

Andrew Lepone, Macquarie Graduate School of Management
Jun Wen, Macquarie Graduate School of Management
Jin Young Yang, Zayed University

Document Type

Article

Source of Publication

Pacific Basin Finance Journal

Publication Date

10-1-2018

Abstract

© 2018 Elsevier B.V. This study examines the impact of message traffic restrictions on the relative pricing efficiency of futures market. In particular, this paper investigates the return correlation between index futures contracts and Exchange-Traded Funds (ETFs) against the implementation of two message traffic regulatory restrictions, namely the Cost Recovery Scheme in Australia (2012) and the Integrated Fee Model in Canada (2012). Evidence indicates that the message traffic regulatory restrictions impose a positive impact on the relative pricing efficiency between futures and equity markets. Results also reveal that the lead-lag relationship between the ETF and futures markets does not change qualitatively after the regulatory transitions.

DOI Link

10.1016/j.pacfin.2018.08.016

ISSN

0927-538X

Publisher

Elsevier B.V.

Volume

51

First Page

366

Last Page

375

Disciplines

Business

Keywords

Exchange-traded funds, Index arbitrage, Index futures contracts, Message traffic restrictions

Scopus ID

85053211103

Recommended Citation

Lepone, Andrew; Wen, Jun; and Yang, Jin Young, "Message traffic restrictions and relative pricing efficiency: Evidence from index futures contracts and exchange-traded funds" (2018). All Works. 2373.
https://zuscholars.zu.ac.ae/works/2373

Indexed in Scopus

yes

Open Access

no