The evolution of price discovery in us equity and derivatives markets |
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| Authors: | Damien Wallace Petko S Kalev Guanhua Lian |
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| Institution: | 1. UniSA Business School, School of Commerce, University of South Australia, Adelaide, South Australia, Australia;2. Department of Economics and Finance, La Trobe Business School, La Trobe University, Melbourne, Victoria, Australia |
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| Abstract: | This study considers the evolution of price discovery in the S&P 500 E-mini futures and the corresponding exchange traded fund (SPY ETF) over the period January 2002 through December 2013. The study reports evidence that the E-mini futures dominate price discovery at the beginning of the sample period. However, from 2007 onward both the SPY ETF and E-mini futures contribute similar portions to the price discovery process. The level of price discovery is significantly influenced by volume measures and relative levels of transaction costs for both securities. |
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| Keywords: | exchange traded funds futures information share price discovery stock |
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