Trading costs and price discovery across stock index futures and cash markets

Article Abstract:

Intraday price leadership across the S&P 500, NYSE Composite and the Major Market Index (MMI) and across respective cash indexes have been studied using a vector autoregressive model. Impulse response functions have been calculated to show how innovation in one market transfers to other markets. Results indicate that the S&P 500 maintains price leadership over the other index futures while the MMI leads in the cash index. These findings agree with the trading cost hypothesis.

Stock index futures, Standard and Poor's 500-Stock Price Index, Money market, Money markets, New York Stock Exchange Composite Index, Major Market Index

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Back to the future: in a future dcredit default swap index futures market

Article Abstract:

The margins of porfits earned by stock traders in futures trading in the Swedish stock markets are discussed.

Government expenditures, Sweden, Stocks, Economic policy

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