The interactions that occur in securities markets are among the fastest, most information
intensive, and most highly strategic of all economic phenomena. This book is about the …

The market for US equity indexes presently comprises floor‐traded index futures contracts,
exchange‐traded funds (ETFs), electronically traded, small‐denomination futures contracts …

We analyze the structural determinants of two widely used measures of price discovery
between multiple markets that trade closely related securities. Using a structural …

A market is typically considered to dominate price discovery if it is the first to reflect new
information about the fundamental value. Our simulations indicate that common price …

This note clarifies the relation between two competing definitions of the contribution to price
discovery in market microstructure models:(i) the information share and (ii) the common …

In this paper, price discovery among the Hang Seng Index markets is investigated using the
Hasbrouck and Gonzalo and Granger common‐factor models and the multivariate …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

One of the most spectacular successes in financial innovation since the advent of financial
futures is probably the creation of exchange traded funds (ETFs). As index funds, they aim at …

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and
Trading Financial Instruments forms part three of the Market Risk Analysis four volume set …

This paper investigates information transmission and price discovery in informationally
linked markets within the multivariate generalized autoregressive conditional …