Intraday Price Discovery in the DJIA Index Markets
研究道琼斯工业平均指数及其三种衍生品（ETF、常规期货和迷你期货）之间的价格发现过程，发现电子交易的迷你期货贡献最大，而指数和常规期货贡献最小，多市场交易提高了定价效率。
Abstract: This paper explores the dynamics of price discovery between the Dow Jones Industrial Average (DJIA) index and its three derivative products: the DIAMOND exchange‐traded fund (ETF), the floor‐traded regular futures, and the electronically traded mini futures. Even though the American Stock Exchange is the primary listing exchange for the ETF, the analysis indicates that the electronically traded ETF on the Archipelago (ArcaEx) electronic communications network dominates the price discovery process for DIAMOND shares. The E‐mini futures contribute the most to price discovery, followed by the ArcaEx DIAMOND. The DJIA index and regular futures contribute least to price discovery. The analysis is repeated using the derivatives of the S&P 500 index as a robustness check. The results indicate that multi‐market trading ensures greater pricing efficiency. Informed traders favor electronic trading because of immediate and anonymous trade execution.