## Abstract This study investigates the information content of futures option prices when the underlying futures price is regulated and the futures option price is not. The New York Board of Trade (NYBOT) provides the empirical setting for this regulatory mismatch. Many commodity derivatives market
Dominant markets, staggered openings, and price discovery
β Scribed by Bahram Adrangi; Arjun Chatrath; Rohan A. Christie-David; Kiseop Lee
- Publisher
- John Wiley and Sons
- Year
- 2010
- Tongue
- English
- Weight
- 322 KB
- Volume
- 31
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
β¦ Synopsis
The study benefitted greatly from the comments of an anonymous reviewer. The authors thank the Reviewer for the comments offered.
π SIMILAR VOLUMES
This article examines the intraday price discovery process among stock index, index futures, and index options in Germany using DAX index securities and intraday transactions data. The three index securities contribute to a common factor, but the spot index and index futures have substantially large
The focus of this article is to test the trading cost hypothesis of price leadership, which predicts that the market with the lowest overall trading costs will react most quickly to new information. In an attempt to hold market microstructure effects constant and in contrast to previous studies, we
The Dow Jones Industrial Average (DJIA) is the most widely quoted stock index worldwide. This article examines the minute-by-minute price discovery process and volatility spillovers between the DJIA index and the index futures recently launched by the CBOT. The Hasbrouck (1995) cointegrating model s
## 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, Eβmini futures, and the EBS interdealer spot market. Contra