Ivanov, Stoyu I.; Jones, Frank J.; Zaima, Janis K. - In: Global Finance Journal 24 (2013) 3, pp. 171-187
This study examines the temporal behavior of price discovery in the spot, ETF and futures markets of the DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000. We document an increasing trend in the price discovery metrics of exchange traded funds for all indexes but the DJIA. Contrary to past...
