The Evolution of Price Discovery in US Equity and Derivatives Markets

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.