## Abstract This paper uses the methods of error correction and common factor analysis to estimate the contribution of locals (market makers who may participate directly by trading for their own account) and nonβlocal traders to price discovery on the floor of the Chicago Board of Trade (CBOT) and
Role of futures market in price discovery
β Scribed by Arora, Sunita; Kumar, Narender
- Book ID
- 121562094
- Publisher
- Springer-Verlag
- Year
- 2013
- Weight
- 475 KB
- Volume
- 40
- Category
- Article
- ISSN
- 0304-0941
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π SIMILAR VOLUMES
## Abstract The paper conducts a regression analysis utilizing both futures and cash market prices and net orderflow to determine where price discovery takes place as well as the forces at play that influence the location. Specifically, given the strong theoretical linkage between the U.S. Treasury
Examination is made of the relative contributions to price discovery of the floor and electronically traded euro FX and Japanese yen futures markets and the corresponding retail on-line foreign exchange spot markets. GLOBEX electronic futures contracts provide the most price discovery in the euro; t