Intraday price formation in US equity index markets

• 成果类型: Article
• 署名作者: Hasbrouck, J
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1046/j.1540-6261.2003.00609.x
• 发表日期: 2003
• 页码: 2375-2399
• 关键词: STOCK INDEX; FUTURES MARKETS; execution costs; trading costs; DISCOVERY; INFORMATION; security; DYNAMICS; volume; paris

摘要

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.