Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets
Yang Hou and
MPRA Paper from University Library of Munich, Germany
The error correction coefficients, known as the loading factors, are a key component for price discovery measurement. To date, only constant loading factors have been considered for the price discovery measurement. This paper attempts to consider the autoregressive loading factors and their implications for the price discovery measurement. Based on the minute-by-minute data from the S&P 500 cash and E-mini futures markets, this paper reveals that the loading factors are indeed autoregressive. Furthermore, we propose three AR(1) processes for the loading factors and assess their performance in price discovery measurement compared to the constant loading factor model. Overall, this research provides supporting empirical evidence for using autoregressive loading factors for the price discovery measurement.
Keywords: Price Discovery; Information Share; S&P 500 E-mini Futures; AGDCC GARCH; Loading Factor; Error Correction Coefficient (search for similar items in EconPapers)
JEL-codes: G13 G14 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cta, nep-fmk and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/81999/1/MPRA_paper_81999.pdf original version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:81999
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().