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High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures
Author(s) -
Nie Jing
Publication year - 2019
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22016
Subject(s) - eurodollar , futures contract , price discovery , econometrics , range (aeronautics) , economics , vector autoregression , maturity (psychological) , data set , financial economics , mathematics , statistics , engineering , psychology , developmental psychology , aerospace engineering
This paper estimates a collection of high‐frequency informational efficiency metrics by constructing a unique Eurodollar futures data set with the complete messaging history. To capture price efficiency, this paper calculates the mid‐quote return autocorrelations following a full range of time intervals. The findings suggest the mid‐quote return autocorrelations are positive and gradually increase from the tick‐level to 30‐min. Then, I utilize a vector autoregression to estimate the pricing error, which shows the adjustment time of trade returns is completed in 1 s. Furthermore, trade prices are less sensitive about incorporating any available new information as the Eurodollar futures approaches its maturity.