Efficient Price Discovery in Stock Index Cash and Futures Markets

Pascal Alphonse

Annals of Economics and Statistics, 2000, issue 60, 177-188

Abstract: This study is concerned with the aggregation of information in the French stock index cash and futures markets. The results indicate that deviations from the equilibrium relationship linking cash and futures prices originate mainly from information arrivals in the futures market and that at least 95 of the price discovery is achieved in this market. Finally, the results appear relatively independent of the particular choice of price measurement, transaction prices versus quotes.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2000:i:60:p:177-188

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