Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258199 
Year of Publication: 
2021
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 9 [Issue:] 6 [Article No.:] 111 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-18
Publisher: 
MDPI, Basel
Abstract: 
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 estimated using the information share approach proposed by Hasbrouck and Gonzalo-Granger. Empirical findings indicate that regular futures market contributes significantly to the price discovery, accounting for approximately 66.5% of price discovery in the EURO/USD market. This study also examines if the regular future's information share (IS) can be explained by the positioning of commercial and non-commercial traders. We find a positive significant relationship between IS and both the speculative trade position and hedgers trade position. The results support the conclusion that the IS of regular futures can be better explained by speculators than hedgers.
Subjects: 
e-mini-futures
intraday
price discovery
information share
speculators
hedgers
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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