Price discovery in spot and futures markets: A reconsideration
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Other versions of this item:
- Erik Theissen, 2012. "Price discovery in spot and futures markets: a reconsideration," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 969-987, November.
- Theissen, Erik, 2009. "Price discovery in spot and futures markets: A reconsideration," CFS Working Paper Series 2009/27, Center for Financial Studies (CFS).
- Theissen, Erik, 2011. "Price discovery in spot and futures markets: A reconsideration," CFR Working Papers 09-17 [rev.], University of Cologne, Centre for Financial Research (CFR).
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jaehun CHOI & Hosung LIM & Rogelio Jr. MERCADO & Cyn-Young PARK, 2015.
"Price Discovery and Foreign Participation in Korea's Government Bond Cash and Futures Markets,"
2015-8, Economic Research Institute, Bank of Korea.
- Park, Cyn-Young & Mercado, Rogelio & Choi, Jaehun & Lim, Hosung, 2015. "Price Discovery and Foreign Participation in the Republic of Korea’s Government Bond Cash and Futures Markets," ADB Economics Working Paper Series 427, Asian Development Bank.
- Sanjay Sehgal & Wasim Ahmad & Florent Deisting, 2015. "An investigation of price discovery and volatility spillovers in India’s foreign exchange market," Journal of Economic Studies, Emerald Group Publishing, vol. 42(2), pages 261-284, May.
- repec:eee:empfin:v:43:y:2017:i:c:p:59-73 is not listed on IDEAS
- Mallika Kumar & M. M. Sulphey, 2015. "Investment Option in Gold – A Study on Price Discovery of Gold Futures in India," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(4), pages 231-238, November.
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- Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin, 2015. "Common deviation and regime-dependent dynamics in the index derivatives markets," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 1-22.
- Gong, Chen-Chen & Ji, Shen-Dan & Su, Li-Ling & Li, Sai-Ping & Ren, Fei, 2016. "The lead–lag relationship between stock index and stock index futures: A thermal optimal path method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 63-72.
More about this item
KeywordsFutures Markets; Threshold error correction; Information shares; Common factor weights;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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