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Do ETFs lead the price moves? Evidence from the major US markets

Buckle, Mike, Chen, Jing, Guo, Qian and Tong, Chen 2018. Do ETFs lead the price moves? Evidence from the major US markets. International Review of Financial Analysis 58 , pp. 91-103. 10.1016/j.irfa.2017.12.005

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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.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: H Social Sciences > HG Finance
Publisher: Elsevier
ISSN: 1057-5219
Date of First Compliant Deposit: 18 December 2017
Date of Acceptance: 13 December 2017
Last Modified: 18 Oct 2019 21:14
URI: http://orca-mwe.cf.ac.uk/id/eprint/107609

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