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The Relative Informativeness of Regular and E-Mini Euro/Dollar Futures Contracts and the Role of Trader Types

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  • Jatin Malhotra

    (Center of Excellence for Research in Finance and Accounting (CERFA), American University in Dubai, Dubai P.O. Box 28282, United Arab Emirates)

  • Angelo Corelli

    (Maastricht School of Management, Endepolsdomein 150, 6229 EP Maastricht, The Netherlands)

Abstract

This paper examines the relative contribution of regular and e-mini futures market to price discovery of EUR/USD futures contracts on the Chicago Mercantile Exchange (CME), using intraday data in 2010.The relative contribution to price discovery is estimated using the information share approach proposed by Hasbrouck and Gonzalo-Granger. Empirical findings indicate that regular futures market contributes significantly to the price discovery, accounting for approximately 66.5% of price discovery in the EURO/USD market. This study also examines if the regular future’s information share (IS) can be explained by the positioning of commercial and non-commercial traders. We find a positive significant relationship between IS and both the speculative trade position and hedgers trade position. The results support the conclusion that the IS of regular futures can be better explained by speculators than hedgers.

Suggested Citation

  • Jatin Malhotra & Angelo Corelli, 2021. "The Relative Informativeness of Regular and E-Mini Euro/Dollar Futures Contracts and the Role of Trader Types," Risks, MDPI, vol. 9(6), pages 1-14, June.
    • Handle: RePEc:gam:jrisks:v:9:y:2021:i:6:p:111-:d:569825
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