This study examines price disagreements and adjustments between actual futures prices and options-implied futures prices in an elaborate setting. We identify which market triggers each type of price disagreement and find that the market that initiates the disagreement adjusts more to eliminate...

This study examines price disagreements and adjustments between actual futures prices and options-implied futures prices in an elaborate setting. We identify which market triggers each type of price disagreement and find that the market that initiates the disagreement adjusts more to eliminate...

We propose a new measure to establish price leadership among multiple related price series using a Multivariate Markov Chain. This new measure, the Price Leadership Share (PLS), can easily be calculated when prices are related but not fully cointegrated or with more than two price series...