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Efficient Price Discovery in Stock Index Cash and Futures Markets

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  • Pascal Alphonse

Abstract

This study is concerned with the aggregation of information in the French stock index cash and futures markets. The results indicate that deviations from the equilibrium relationship linking cash and futures prices originate mainly from information arrivals in the futures market and that at least 95 of the price discovery is achieved in this market. Finally, the results appear relatively independent of the particular choice of price measurement, transaction prices versus quotes.

Suggested Citation

  • Pascal Alphonse, 2000. "Efficient Price Discovery in Stock Index Cash and Futures Markets," Annals of Economics and Statistics, GENES, issue 60, pages 177-188.
    • Handle: RePEc:adr:anecst:y:2000:i:60:p:177-188
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    File URL: http://www.jstor.org/stable/20076259
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    Cited by:

    1. Nilabja Ghosh, 2015. "Production, Market Structure and the Role of Public Policy: Foodgrains in the New Economy," Working Papers id:7511, eSocialSciences.
    2. C. Kailash P. & К. Прадхам Ч., 2017. "Движение цен на спотовых и фьючерсных рынках: Подтверждение индексами S&P CNX NIFTY // Price movements in futures and spot markets: Evidence from the S&P CNX Nifty Index," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 5(1), pages 32-41.
    3. Kapil Choudhary & Sushil Bajaj, 2013. "Price Discovery Process in Nifty Spot and Futures Markets," Global Business Review, International Management Institute, vol. 14(1), pages 55-88, February.
    4. P.R. Madhusoodanan & Hareesh V. Kumar, 2008. "An Empirical Verification of Cointegration and Causality in Indian Stock Markets," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 9(1), pages 159-172, June.

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