Presentation Details

The Second International Conference on the Future of the Book

The Price Discovery

Yushan Candy Wang.


The paper employs the Johansen cointegration methodology, the vector-error correction model (VECM) with Granger causality tests, the newly developed general impulse response functions (GIRF) and the general variance decompositions (GVDC). The empirical results show that the cointegration results indicate that there exists a cointegrating vector among four variables. In other others, these financial markets are completely integrated. Next, the results from Granger causality tests based on VECM point to bi-directional causality running from each other except for spot. In addition to, regular futures, e-mini futures and ETF have identical comovement phenomenon from the GIRF. Thus, the major finding of this paper is price discovery appears to be initiated lower transaction cost market. In other words, it supports Fleming et al. (1996) the transaction cost hypothesis and Kawaller et al. (1987) leverage hypothesis.

Presenters

Yushan Candy Wang




Keywords
  • Cointegration
  • General impulse response functions
  • Price discovery
  • S&P 500
  • Granger causality
  • Variance decomposition
Person as Subject
  • Yushan Wang



(Virtual Presentation, English)