Price discovery and investor structure in stock index futures
Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time‐varying spot‐futures linkages studied within a VECM‐DCC‐GARCH framework to changes in the investor structure of the futures market over time. Empirical results suggest that during the dominance of presumably uninformed private investors, the futures market does not contribute to price discovery. By contrast, there is evidence of information flows from futures to spot markets and a significant increase in conditional correlation between both markets as institutional investors' share in trading volume increases. We derive implications for the design of emerging futures markets. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark31:282–306, 2011
Year of publication: |
2011
|
---|---|
Authors: | Bohl, Martin T. ; Salm, Christian A. ; Schuppli, Michael |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 31.2011, 3, p. 282-306
|
Publisher: |
John Wiley & Sons, Ltd. |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Price discovery and investor structure in stock index futures
Bohl, Martin T., (2011)
-
Positive feedback trading in stock index futures: International evidence
Salm, Christian A., (2010)
-
Positive feedback trading in stock index futures : international evidence
Salm, Christian, (2010)
- More ...