In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX...

This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bond future contract on German sovereign debt, versus two futures with shorter maturity. We find that the Bund is most important but does not dominate price discovery. The other contracts also have relevant -...

This study examines whether the Indian stock market is efficient in semi-strong form and seasonality exists. For this purpose, we take the first and fourth quarters‟ results of companies for the years 2008 to 2011. We divide companies into good news and bad news portfolios on the basis of...

In this paper, we apply the recently developed fractionally cointegrated vector autoregressive (FCVAR) model to analyze price discovery in the spot and futures markets for five non-ferrous metals (aluminum, copper, lead, nickel, and zinc). The FCVAR model allows for long memory (fractional...

This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of FTSE/ASE-20 futures and the underlying FTSE/ASE-20 cash index of the Athens Stock Exchange. The results suggest that there is a bidirectional causality between spot and futures returns,...

This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 to 2008 can capture major daily outliers such as the 1987 stock market crash. Intradaily jumps in futures prices are typically small; self-exciting but short-lived volatility...

This paper analyses the role of liquidity in the price discovery process. Specifically, it focuses on the credit derivatives markets in the context of the subprime crisis. It presents a theoretical price discovery model for the ASP, bond and CDS markets and then it tests the model with data from...

This study investigates the lead-lag relationship between the price movements of VIX futures and VIX index levels. As a proxy for the futures, the front month VIX futures contract is used. A Johansen cointegration approach with a vector error correction model and Granger causality analysis are...

I analyze the price discovery process of gold by using high-frequency price series of three commonly traded gold investment products and find that first: modern markets disseminate new gold pricing information in less than one hundred milliseconds. My second finding is that gold future contracts...

Market efficiency is examined in three forms: weak form, semi-strong form and strong form and each one deals with a different source of information. 1. Weak form efficient market - the prices of securities fully reflect all historical information and no excess returns can be earned by utilising...