Tse, Yiuman; Bandyopadhyay, Paramita; Shen, Yang-Pin - In: Journal of Business Finance & Accounting 33 (2006-11) 9-10, pp. 1572-1585
This paper explores the dynamics of price discovery between the Dow Jones Industrial Average (DJIA) index and its three derivative products: the DIAMOND exchange-traded fund (ETF), the floor-traded regular futures, and the electronically traded mini futures. Even though the American Stock...