Price discovery and investor structure in stock index futures

Medientyp: E-Artikel
Titel: Price discovery and investor structure in stock index futures
Beteiligte: Bohl, Martin T.; Salm, Christian A.; Schuppli, Michael
Erschienen: Wiley, 2011
Erschienen in: Journal of Futures Markets
Sprache: Englisch
DOI: 10.1002/fut.20469
ISSN: 0270-7314; 1096-9934
Schlagwörter: Economics and Econometrics ; Finance ; General Business, Management and Accounting ; Accounting
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Beschreibung: <jats:title>Abstract</jats:title><jats:p>Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time‐varying spot‐futures linkages studied within a VECM‐DCC‐GARCH framework to changes in the investor structure of the futures market over time. Empirical results suggest that during the dominance of presumably uninformed private investors, the futures market does not contribute to price discovery. By contrast, there is evidence of information flows from futures to spot markets and a significant increase in conditional correlation between both markets as institutional investors' share in trading volume increases. We derive implications for the design of emerging futures markets. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark31:282–306, 2011</jats:p>

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