Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Derivatives
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Derivatives

The Journal of Derivatives

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOD
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Primary Article

Price Discovery in Strategically Linked Markets

The TED Spread and its Constituents

Arjun Chatrath, Mukesh Chaudhry and Rohan Christie-David
The Journal of Derivatives Summer 1999, 6 (4) 77-87; DOI: https://doi.org/10.3905/jod.1999.319131
Arjun Chatrath
An assistant professor of finance at the University of Portland in Oregon.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Mukesh Chaudhry
An assistant professor of finance at Northern State University in Aberdeen, South Dakota.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Rohan Christie-David
An assistant professor of finance at the University of Southern Mississippi in Hattiesburg, Mississippi.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

The TED (Treasury over Eurodollar) spread between T-bill and Eurodollar futures is one relationships among interest rate contracts that is most actively watched by traders. The Eurodollar future is the more liquid market, but as the anchor of the default-free U.S. Treasury yield curve, the T-bill rate is one of the fundamental financial variables in our economy. This article looks at the behavior of the TED spread from minute to minute, to determine whether the two futures markets are cointegrated (they are) and which way information flows. While the liquid Eurodollar contract does make most of the adjustment when the spread becomes unusually wide or narrow, each market is found to transmit information to the other one, with large changes in the spread creating increased short-run correlation between them.

  • © 1999 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Derivatives
Vol. 6, Issue 4
Summer 1999
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Derivatives.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Price Discovery in Strategically Linked Markets
(Your Name) has sent you a message from The Journal of Derivatives
(Your Name) thought you would like to see the The Journal of Derivatives web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Price Discovery in Strategically Linked Markets
Arjun Chatrath, Mukesh Chaudhry, Rohan Christie-David
The Journal of Derivatives May 1999, 6 (4) 77-87; DOI: 10.3905/jod.1999.319131

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Price Discovery in Strategically Linked Markets
Arjun Chatrath, Mukesh Chaudhry, Rohan Christie-David
The Journal of Derivatives May 1999, 6 (4) 77-87; DOI: 10.3905/jod.1999.319131
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • The Subprime Credit Crisis of 2007
  • The Determinants of CDS Bid-Ask Spreads
  • Variance Reduction for Multivariate Monte Carlo Simulation
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1074-1240 | E-ISSN: 2168-8524

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies