Intraday Price Formation in U.S. Equity Index Markets

By R. Mclean. 2004

402 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/ebb36cb632b016cbb8ea23ec4c633981f3af140a

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Citations in the corpus

Leverage and Volatility Feedback Effects in High-Frequency Data (2006, background): “Several studies have also documented that futures markets tend to lead their underlying cash markets in terms of the process of price discovery; see, e.g., Hasbrouck (2003).”
Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs (2020, background): “Others suggest that information may flow both ways (Chan, Chan and Karolyi, 1991; Hasbrouck, 2003; Roll, Schwartz and Subrahmanyam, 2007).”
Is There Price Discovery in Equity Options (2013, neutral): “See also Hasbrouck (2002, 2003).”
The Flash Crash: The Impact of High Frequency Trading on an Electronic Market (2011, neutral): “2See, among others, Holthausen et al (1987, 1990), Chan and Lakonishok (1993, 1995), Chiyachantana et al (2004), Keim and Madhavan (1996, 1997), and Berkman (1996).”
Risk and Return in High-Frequency Trading (2018, background): “Note that all sample stocks are constituents of the index underlying the futures contract, making arbitrage activities between the two markets likely (Hasbrouck, 2003).”
What Do Price Discovery Metrics Really Measure (2013, neutral): “There are two main (occasionally competing) empirical measures of the contribution of different price series to price discovery: Hasbrouck information share (IS) and Harris-McInish-Wood component share (CS).(1) Market microstructure scholars have made substantial progress in reconciling and understa”
A Structural Analysis of Price Discovery Measures (2010, background): “e1,t = d P 0,1η P t + d T 0,1η T t (22)”
Is There a Dark Side to Exchange Traded Funds? An Information Perspective (2017, neutral): “…in that literature suggest trading associated with the ETF-arbitrage mechanism can improve intraday price discovery for the underlying securities (Hasbrouck 2003, Yu 2005, Chen and Strother 2008, Fang and Sanger 2012, and Ivanov et al. 2013), particularly if the individual securities are less…”
Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets (2008, neutral): “Furthermore, Hasbrouck (2003) shows that the E-mini futures dominate price discovery in the S&P 500 and Nasdaq-100 index markets.”
Stealth Trading in Options Markets (2007, methodology): “Using intraday data from 1989 to 1990 for a sample of firms with options listed on the Chicago Board of Options Ex change (CBOE) and the underlying stocks listed on the NYSE, they find a higher adverse selection component for smaller options trades vis-?-vis the underlying stock trades of the same s”
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (2006, neutral): “2 See, for example, Hasbrouck (2003). 3 The returns for the $/Euro are based on the $/DM contract prior to June 1, 1999.”
The Empirical Analysis of Liquidity (2014, neutral): “Hasbrouck [2004] develops a novel Bayesian solution.”