Intraday Price Formation in U. S. Equity Index Markets  

Oleh:

Hasbrouck, Joel

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 6 (2003), page 2375-2400.
Topik: MARKETS; studies; stock indexing; exchange traded funds; futures market; portfolio investments; stock prices; statistical analysis; mathematical models
Fulltext: p 2375.pdf (277.9KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The market for U. S. equity indexes presently comprises floor - traded index futures contracts, exchange - traded funds (ETFs), electronically traded, small -denomination future contracts (E - minis) and sector ETFs that decompose the S & P 500 index into component industry portfolios. This paper empirically investigates price discovery in this environment. For the S & P 500 and nasdaq - 100 indexes, most of the price discovery occurs in the E - mini market. For the S & P 400 MidCap index, price discovery is shared between the regular futures contract and the ETF. The S & P 500 ETP contributes markedly to price discovery in the sector ETFs, but there are only minor effects in the reverse direction.

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