Price Discovery and Causality in the Australian Share Price Index Futures Market

Efficient Price Discovery in Stock Index Cash and Futures Markets

This study is concerned with the aggregation of information in stock index cash and futures markets. The efficient price discovery is analyzed with reference to the error correction representation and to the common trend representation of cointegrated variables. The empirical evidence is based on three month of intraday data on the French CAC 40 index. The results indicate that deviations from ...

Market Microstructure and Price Discovery

The design of this study is to investigate the evolution of a stochastic price process consequent to discrete processes of bids and offers in a market microstructure setting. Under a set of flexible assumptions about agent preferences, we generate a price process to compare with observation. Specifically, we allow for both rational and irrational economic behavior, abstracting the inquiry from ...

Price Discovery in the European Bond Market

What is a benchmark bond? We provide a formal theoretical treatment of this concept and derive its implications. We describe a rich but little used econometric technique for identifying the benchmark that is congruent with our theoretical framework. We apply this to the natural experiment that occurred when benchmark status was contested in the European bond market following the introduction of...

Market Structure and Price Adjustment in the Iranian Tea Market

Price Discovery in U.S. Corn Cash and Futures Markets: The Role of Cash Market Selection

Using daily data from 182 spatially separated U.S. cash markets for the years 2006-2011, I investigate price discovery for corn. With a large number of cash markets available, I take into account explicitly the issue of market selection, which has been neglected in previous work. I find that empirical results concerning price discovery based on corn cash and futures markets vary with selection ...