The Relative Informativeness of Regular and E-Mini Euro/Dollar Futures Contracts and the Role of Trader Types

Jatin Malhotra and Angelo Corelli
Additional contact information
Jatin Malhotra: Center of Excellence for Research in Finance and Accounting (CERFA), American University in Dubai, Dubai P.O. Box 28282, United Arab Emirates
Angelo Corelli: Maastricht School of Management, Endepolsdomein 150, 6229 EP Maastricht, The Netherlands

Risks, 2021, vol. 9, issue 6, 1-14

Abstract: This paper examines the relative contribution of regular and e-mini futures market to price discovery of EUR/USD futures contracts on the Chicago Mercantile Exchange (CME), using intraday data in 2010.The relative contribution to price discovery is estimated using the information share approach proposed by Hasbrouck and Gonzalo-Granger. Empirical findings indicate that regular futures market contributes significantly to the price discovery, accounting for approximately 66.5% of price discovery in the EURO/USD market. This study also examines if the regular future’s information share (IS) can be explained by the positioning of commercial and non-commercial traders. We find a positive significant relationship between IS and both the speculative trade position and hedgers trade position. The results support the conclusion that the IS of regular futures can be better explained by speculators than hedgers.

Keywords: e-mini-futures; intraday; price discovery; information share; speculators; hedgers (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-9091/9/6/111/pdf (application/pdf)
https://www.mdpi.com/2227-9091/9/6/111/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:9:y:2021:i:6:p:111-:d:569825

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().