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The evolution of price discovery in us equity and derivatives markets
Author(s) -
Wallace Damien,
Kalev Petko S.,
Lian Guanhua
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.22019
Subject(s) - price discovery , futures contract , equity (law) , financial economics , economics , transaction cost , database transaction , monetary economics , sample (material) , business , finance , computer science , database , chemistry , political science , chromatography , law
This study considers the evolution of price discovery in the S&P 500 E‐mini futures and the corresponding exchange traded fund (SPY ETF) over the period January 2002 through December 2013. The study reports evidence that the E‐mini futures dominate price discovery at the beginning of the sample period. However, from 2007 onward both the SPY ETF and E‐mini futures contribute similar portions to the price discovery process. The level of price discovery is significantly influenced by volume measures and relative levels of transaction costs for both securities.