Intraday Price Formation in U.S. Equity Index Markets

• Autores: Joel Hasbrouck
• Localización: The Journal of finance, ISSN 0022-1082, Vol. 58, Nº 6, 2003, págs. 2375-2400
• Idioma: inglés
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• Resumen

  • The market for U.S. equity indexes presently comprises floor-traded index futures contracts, exchange-traded funds (ETFs), electronically traded, small-denomination futures contracts (E-minis), and sector ETFs that decompose the S&P 500 index into component industry portfolios. This paper empirically investigates price discovery in this environment. For the S&P 500 and Nasdaq-100 indexes, most of the price discovery occurs in the E-mini market. For the S&P 400 MidCap index, price discovery is shared between the regular futures contract and the ETF. The S&P 500 ETF contributes markedly to price discovery in the sector ETFs, but there are only minor effects in the reverse direction