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- Title
Do futures lead price discovery in electronic foreign exchange markets?
- Authors
Cabrera, Juan; Wang, Tao; Yang, Jian
- Abstract
Using intraday data, this study investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is found to consistently lead the price discovery process for both currencies during the sample period. Furthermore, E-mini futures do not contribute more to the price discovery than the electronically traded regular futures. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:137–156, 2009
- Subjects
BUSINESS-to-business electronic markets; FOREIGN exchange; FOREIGN exchange rates; ELECTRONIC trading of securities; STOCK exchanges; ECONOMIC equilibrium; STOCKBROKERS; JAPANESE yen; EURO; COMPUTER network resources
- Publication
Journal of Futures Markets, 2009, Vol 29, Issue 2, p137
- ISSN
0270-7314
- Publication type
Article
- DOI
10.1002/fut.20352