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
International price discovery in Finnish stock index futures and cash markets
β Scribed by Teppo Martikainen; Vesa Puttonen
- Book ID
- 116134864
- Publisher
- Elsevier Science
- Year
- 1994
- Tongue
- English
- Weight
- 968 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0378-4266
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
The authors gratefully acknowledge the financial support of the Chicago Board of Trade Educa-'See Stoll and Whaley (1987) for a summary of the debate and their analysis. 'See Grossman (1988) for a limitation in the use of futures in dynamic hedging strategies. 3These deviations of actual from theore
## Abstract Using highβfrequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China. Although the Chinese stock index started a sharp decline immediately after the stock in
## Abstract Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates timeβvarying spotβfutures linkages studied within a VECMβDCCβGARCH framework to changes in the investor structure of the futures market over