Marie‐Claude Beaulieu; Ebrahim, Shafiq K.; Morgan, … - In: Journal of Futures Markets 23 (2003) 1, pp. 49-66
We investigate the price discovery role of an exchange‐traded fund and the futures contract for the same market index. We find that the fund predicts the index in the subperiod after but not in the subperiod before a substantial decrease in the minimum tick size. The futures predict the index...