Could the Extended Trading of CSI 300 Index Futures Facilitate Its Role of Price Discovery
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DOI: 10.1002/fut.21804
Abstract: This study examines the role of extended CSI 300 Index futures trading in price discovery. As a prerequisite for the facilitation of price discovery, we first confirm that extended trading is weak‐form efficient and driven… read more here.
Keywords: extended trading; index; trading; price ... See more keywords
Determinants of intraday price discovery in VIX exchange traded notes
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DOI: 10.1002/fut.21907
Abstract: This study investigates the intraday price discovery of the VIX short†term futures ETN (VXX) and inverse VIX short†term ETN (XIV) for the period January 3, 2012 to December 31, 2015. Using Hasbrouck's (1995)… read more here.
Keywords: discovery vix; price; price discovery; intraday price ... See more keywords
The impact of the US stock market opening on price discovery of government bond futures
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DOI: 10.1002/fut.22015
Abstract: We examine price discovery in sequential markets for the 10‐year US Treasury note, German bund, and UK gilt futures over the period 2010–2017. We find that price discovery increases after the opening of the US… read more here.
Keywords: stock market; price discovery; market; price ... See more keywords
Price discovery in commodity derivatives: Speculation or hedging?
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DOI: 10.1002/fut.22021
Abstract: We investigate whether commodity futures or options markets play a more important role in the price discovery process in the six most actively traded markets: crude oil, natural gas, gold, silver, corn, and soybeans. Using… read more here.
Keywords: speculation; commodity derivatives; price discovery; price ... See more keywords
The sensitivity of trading to the cost of information
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DOI: 10.1002/fut.22152
Abstract: This study examines the impact of changes in data feed pricing schedules on the price discovery between competing venues, as espoused by Cespa & Foucault (2014). We utilize three exogenous events stemming from a staggered… read more here.
Keywords: sensitivity trading; price discovery; price; cost information ... See more keywords
Fractional cointegration in bitcoin spot and futures markets
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DOI: 10.1002/fut.22216
Abstract: This paper adopts the fractional cointegrated vector autoregressive (FCVAR) model to examine high-frequency price discovery of bitcoin spot and futures prices from December 18, 2017 to July 31, 2020 We find that bitcoin spot and… read more here.
Keywords: bitcoin spot; bitcoin; spot; price discovery ... See more keywords
The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market
Sign Up to like & getrecommendations! Published in 2017 at "Empirical Economics"
DOI: 10.1007/s00181-016-1115-3
Abstract: This paper reports a study of the evolution of the intraday price discovery of the Chinese CSI 300 stock index futures, utilizing minute-by-minute data for the two consecutive periods of April 16, 2010–July 30, 2010… read more here.
Keywords: index; chinese csi; discovery chinese; intraday price ... See more keywords
The price leadership share: a new measure of price discovery in financial markets
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DOI: 10.1007/s10436-020-00371-3
Abstract: We propose a new measure to establish price leadership among multiple related price series using a multivariate Markov chain model. This new measure, the price leadership share (PLS), can easily be calculated when price series… read more here.
Keywords: price discovery; price; measure; price leadership ... See more keywords
Evidence of price discovery on the Indonesian stock exchange
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DOI: 10.1016/j.econmod.2019.09.005
Abstract: Abstract The Indonesian stock market is emerging and very little is known about price discovery mechanisms. This paper addresses this research gap by compiling and utilizing a unique stock-level dataset (consisting of 342 stocks) to… read more here.
Keywords: price; indonesian stock; stock exchange; price discovery ... See more keywords
Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks
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DOI: 10.1016/j.econmod.2020.11.010
Abstract: Abstract What factors drive price discovery for cross-listed shares? Several significant variables were identified, but the literature assumes that their impact is symmetric throughout the distribution of information shares. Using data from 25 companies listed… read more here.
Keywords: discovery process; price; cross listed; flight safety ... See more keywords
Price discovery in the small and in the large: Momentum and reversal, bubbles, and crashes
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DOI: 10.1016/j.finmar.2019.08.001
Abstract: Abstract Using a discrete-time asset-pricing model, I specify the economic rationale for a rich array of price dynamics. Two boundedly-rational investors with different risk preferences trade periodically, where excess supply is cleared by a tâtonnement… read more here.
Keywords: momentum reversal; bubbles crashes; price discovery; price ... See more keywords