Intraday Price Formation in U.S. Equity Index Markets
研究美国股票指数市场中不同交易工具（期货、ETF、E-mini）的价格发现过程，发现标普500和纳斯达克100的价格发现主要在E-mini市场，而标普400的价格发现在常规期货和ETF之间共享。
Abstract The market for U.S. equity indexes presently comprises floor‐traded index futures contracts, exchange‐traded funds (ETFs), electronically traded, small‐denomination futures contracts (E‐minis), and sector ETFs that decompose the S&P 500 index into component industry portfolios. This paper empirically investigates price discovery in this environment. For the S&P 500 and Nasdaq‐100 indexes, most of the price discovery occurs in the E‐mini market. For the S&P 400 MidCap index, price discovery is shared between the regular futures contract and the ETF. The S&P 500 ETF contributes markedly to price discovery in the sector ETFs, but there are only minor effects in the reverse direction.