DO FUTURES LEAD PRICE DISCOVERY IN ELECTRONIC FOREIGN EXCHANGE MARKETS?

被引：63

作者：

Cabrera, Juan ^{[2
]}

Wang, Tao ^{[3
]}

Yang, Jian ^{[1
]}

机构：

[1] Univ Colorado, Sch Business, Denver, CO 80217 USA

[2] CUNY, Grad Ctr, Dept Econ, New York, NY 10021 USA

[3] CUNY, Queens Coll, Dept Econ, New York, NY 10021 USA

来源：

JOURNAL OF FUTURES MARKETS | 2009年 / 29卷 / 02期

关键词：

RATE DYNAMICS; SYSTEMS;

D O I：

10.1002/fut.20352

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using intraday data, this study investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is found to consistently lead the price discovery process for both currencies during the sample period. Furthermore, E.-mini futures do not contribute more to the price discovery than the electronically traded regular futures. (C) 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:137-156, 2009

引用

页码：137 / 156

页数：20

共 19 条

[1]

[Anonymous], J BUS ECON STAT

[2] Information transmission in electronic versus open-outcry trading systems: An analysis of US equity index futures markets [J].