Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets
基于沪深300股指期货逐笔数据，发现报价在低频率下与交易对价格发现的贡献无差异，但在高频率下占主导，且日内贡献呈下降趋势，前半小时降幅达31%。
Abstract In this paper, we analyze the role that trades and quotes play in price discovery. Based on tick‐level data for CSI 300 stock index futures, we find that the contribution of quotes to price discovery does not differ from trades at low resolutions, but dominates at high resolutions. This difference is influenced by spreads and volume. Further analysis reveals that the intraday price contribution of quotes and trades is trending downward, up to 31% in the first half‐hour. The adverse selection and liquidity supply cost components of spreads significantly contribute to and dampen the difference in intraday contribution, respectively.