Do ETFs lead the price moves? Evidence from the major US markets
Buckle, M. and Chen, J. and Guo, Qian and Tong, C. (2017) Do ETFs lead the price moves? Evidence from the major US markets. International Review of Financial Analysis 58 , pp. 91-103. ISSN 1057-5219.
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Abstract
In this paper, we study relative price discovery for three major US indices, their futures and exchange traded funds (ETFs) using intra-day price movements from 2003 until 2013. The methodologies employed in our analysis include information share (IS), permanent and transitory decomposition (PT), and weighted price contribution (WPC). The results from PT indicate that for each index ETFs have taken over the role of price discovery from futures contracts; while the results from WPC suggest that the spot markets lead price movements, which in turn implies the ETFs may have adjusted prices actively to pre-market information and activities.
Metadata
| Item Type: | Article |
|---|---|
| Keyword(s) / Subject(s): | Price Discovery, Information Share, ETFs, Permanent and Transitory Decomposition, Weighted Price Contribution |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 15 Dec 2017 19:27 |
| Last Modified: | 02 Aug 2023 17:37 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/20648 |
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