This paper analyzes the price discovery process of securities that trade at multiple markets with trading sessions that totally or partially overlap. Building on Hasbrouck (1995) information share approach, we introduce a methodology that distinguishes two sources of information asymmetries...

In November 2001, the Spanish Official Exchange for Financial Futures and options launched the mini IBEX-35 futures contract. Following the seminal paper of Bessembider and Seguin (1992), this paper analyzes the effects of the introduction of the mini-futures contract in the Spanish stock index...