The Evolution of Price Discovery in US Equity and Derivatives Markets
Author | : Damien G. Wallace |
Publisher | : |
Total Pages | : 41 |
Release | : 2014 |
ISBN-10 | : OCLC:1308849536 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Book Synopsis The Evolution of Price Discovery in US Equity and Derivatives Markets by : Damien G. Wallace
Download or read book The Evolution of Price Discovery in US Equity and Derivatives Markets written by Damien G. Wallace and published by . This book was released on 2014 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates changes in the price discovery portions for two popular securities based on the S&P 500 index, namely the S&P 500 E-mini futures and the SPDR Exchange Traded Fund (Ticker SPY) for the period Jan 2002 through Dec 2013. We show a significant change in the price discovery of these two securities over this period. The E-mini futures are dominant for price discovery until 2007, though on a steady decline. After 2007 the SPY ETF dominates the price discovery process.