Research on Price Discovery in Financial Securities: Trends and Directions for Future Research

Prashant Sharma (), Gaurav Agrawal, Geetika Arora, Dinesh Kumar Sharma and Varun Chotia
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Prashant Sharma: Jindal School of Banking and Finance (JSBF), O. P. Jindal Global University, Sonipat 131001, India
Gaurav Agrawal: Atal Bihari Vajpayee-Indian Institute of Information Technology and Management, Gwalior 474015, India
Geetika Arora: Business Administration, University of the People, Pasadena, CA 91101, USA
Dinesh Kumar Sharma: School of Management, Gautam Buddha University, Greater Noida 201312, India
Varun Chotia: Jaipuria Institute of Management Jaipur, Jaipur 302033, India

JRFM, 2023, vol. 16, issue 9, 1-19

Abstract: The futures contracts were introduced to act as hedging instruments and ensure the price discovery (referred to as PD hereafter) mechanism for the underlying securities. If the price movement of a futures contract leads the price movement of the underlying securities in the spot market, this confirms the existence of price discovery in the market. This study undertakes an in-depth analysis of past research in order to find research trends and directions for the future in the field of price discovery. The bibliometric analysis technique is used to analyse the existing literature. The study considers the 1431 documents collected from the Scopus database for the period of 1982–2021 to conduct the descriptive and network analysis of search results. The study identifies three key clusters, i.e., the foundation of the price discovery process (Cluster 1), the econometric tools and techniques to assess the price discovery process (Cluster 2), and price discovery under different market conditions and constraints (Cluster 3). After an in-depth content analysis of these clusters, the study provides suggestions for future research in the field of price discovery. The study is the first of its type to conduct an in-depth analysis of the literature of price discovery since inception, and provides directions for future research in the field.

Keywords: price discovery; bibliometric analysis; network analysis; VOS viewer; lead–lag relationship (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2023
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