Reexamining the Uncertain Information Hypothesis on the S&P 500 Index and SPDRs
Document Type
Article
Publication Date
1-1-2010
Abstract
This paper examines the uncertain information hypothesis on one major index and its corresponding exchange-traded fund: the S&P 500 Index and SPDRs in the pre-SPDRs (01/63-12/93) and post-SPDRs (01/94-12/03) periods. Two strategies are used to measure the economic significance of the uncertain information hypothesis. Overall, we present evidence confirming the uncertain information hypothesis in the post-SPDRs period. However, we fail to convert the statistically significant gains observed into economic gains under a conservative approach. In addition, the degree of difference in the volatilities of the 5-day post-event returns (in both the S&P 500 and the SPDR) among the three subgroups diminishes in the post-SPDR period. Hence, we conclude that the market is in fact short-term efficient in a more realistic setting.
DOI
10.1007/s11156-009-0119-x
MSU Digital Commons Citation
Yu, Susana; Rentzler, Joel; and Tandon, Kishore, "Reexamining the Uncertain Information Hypothesis on the S&P 500 Index and SPDRs" (2010). Department of Accounting and Finance Faculty Scholarship and Creative Works. 95.
https://digitalcommons.montclair.edu/acctg-finance-facpubs/95