Price Discovery without Trading: Evidence from the Nasdaq Preopening
β Scribed by Charles Cao; Eric Ghysels; Frank Hatheway
- Book ID
- 108502956
- Publisher
- John Wiley and Sons
- Year
- 2000
- Tongue
- English
- Weight
- 133 KB
- Volume
- 55
- Category
- Article
- ISSN
- 0022-1082
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract We investigate the price discovery role of an exchangeβtraded fund and the futures contract for the same market index. We find that the fund predicts the index in the subperiod after but not in the subperiod before a substantial decrease in the minimum tick size. The futures predict the
## Abstract The Singapore Exchange (SGX), a small satellite market, successfully competes with a large home market, the Osaka Securities Exchange (OSE), in trading the Nikkei 225 futures index. In this paper, we investigate the contribution of the SGX to price discovery and shed light on the reason