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Price discovery in Chinese PVC futures and spot markets: Impacts of COVID-19 and benchmark analysis [PDF]
HeliyonDespite being a minor futures category, Polyvinyl chloride (PVC) futures have emerging as a vital element in energy and chemical futures domain. Employing three benchmark models component share (CS), information share (IS), and information leadership ...
Yunyan Wu, Jiaqi He, Linfei Xiong
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Measures of contributions to price discovery: a comparison [PDF]
Journal of Financial Markets, 2002 This note clarifies the relation between two competing definitions of the contribution to pricediscovery in market microstructure models: (i) the information share and (ii) the common factorcomponent weight. It is demonstrated that the two measures are closely related, but that only theinformation share takes into account the variability of the ...
Frank De Jong
exaly +5 more sources
Price discovery and market efficiency of cardamom in India [PDF]
Vilakshan (XIMB Journal of Management), 2022 Purpose – Transparent and fair price discovery is essential to commodity market participants in the trade value chain for competitive benefit. The purpose of this paper is to investigate the price discovery of Indian cardamom at e-auction, spot and ...
A.N. Vijayakumar
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Subsidizing Price Discovery [PDF]
SSRN Electronic Journal, 2013 When markets freeze, not only are gains from trade left unrealized, but the process of information production through prices, or price discovery, is disrupted as well. Though this latter effect has received much less attention than the former, it constitutes an important source of inefficiency during times of crisis.
Braz Camargo +2 more
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Price Discovery of Consignment Auctions for Emission Permits
Energies, 2021 A consignment auction aims to increase political feasibility by reducing the financial burden of initial permits allocation and to do the role of price discovery. However, previous analytical models presented contradictory results for the price discovery
Jae-Do Song, Young-Hwan Ahn
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Copernican Journal of Finance & Accounting, 2022 The current study aims to examine the impact of structural breaks on price discovery efficiency of Indian equity futures market. Global financial crisis, change of Government, demonetization and COVID-19 are identified as significant events.
Adish Kumar, Kapil Gupta
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Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process
American Business Review, 2020 This study empirically investigates the contributions of three crude oil-based exchange-traded funds (ETFs) in the price discovery process. Using daily data on the crude oil spot, near month crude oil futures, and three crude-oil-based ETFs, we analyze ...
Keshab Shrestha +2 more
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Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis
Discrete Dynamics in Nature and Society, 2022 Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through ...
Upananda Pani +4 more
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Risks, 2021 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 ...
Jatin Malhotra, Angelo Corelli
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Strategic Behavior and Price Discovery [PDF]
The RAND Journal of Economics, 2001 The paper analyzes the effects of strategic behavior by an insider in a price discovery process, akin to an information tatonnement, in the presence of a competitive informed sector. Such processes are used in the preopening period of continuous trading systems in several exchanges. It is found that the insider manipulates the
Medrano, Luis Angel, Vives, Xavier
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