✦ LIBER ✦

Do futures lead price discovery in electronic foreign exchange markets?

✍ Scribed by Juan Cabrera; Tao Wang; Jian Yang

Publisher: John Wiley and Sons
Year: 2009
Tongue: English
Weight: 279 KB
Volume: 29
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20352

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

Using intraday data, this study investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E‐mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is found to consistently lead the price discovery process for both currencies during the sample period. Furthermore, E‐mini futures do not contribute more to the price discovery than the electronically traded regular futures. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:137–156, 2009

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