This article reviews recent econometric developments in the literature on price discovery
and predictability. For both areas, we discuss traditional approaches to econometric …

This study examines the impact of trading activities on price discovery in the Bitcoin futures
markets. We find that trades of hedgers are positively correlated with the modified …

We utilize the respective information share and common factor component weight
approaches of Hasbrouck (1995) and Gonzalo and Granger (1995) to examine price …

We examine how the implied volatility in the US financial market has been affected by the
COVID-19 pandemic. We decompose the Chicago Board Options Exchange (CBOE) …

This article investigates the impact of the trading positions of hedgers (ie, producers,
merchants, processors, or users of a commodity), speculators (ie, commodity pool operators …

This study investigates the impact of improved central parity quotations in the Chinese
Renminbi on price discovery in onshore (USD/CNY) and offshore (USD/CNH) markets …

We investigate the dynamic changes in trader positions of market participants in the VIX
futures markets. We find that in a low-VIX period, below the 23.81 threshold determined by …

This study investigates whether financial reporting complexity affects the sensitivity of stock
prices to general investor sentiment of difficult-to-value firms. Our findings indicate that …

This study investigates how the investor structures affect the corn futures price volatility using
corn futures and spot price daily data ranging from 5 January 2009 to 31 December 2022 …

We provide new evidence on the effects of position limits on options for ETFs on the S&P
500 (SPY contracts), based on market reactions to the pilot program (amendment to CBOE …