The Relative Informativeness of Regular and E-Mini Euro/Dollar Futures Contracts and the Role of Trader Types

The Relative Informativeness of Regular and E-Mini Euro/Dollar Futures Contracts and the Role of Trader Types

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 prop...

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Bibliographic Details
Main Authors: Jatin Malhotra, Angelo Corelli
Format: Article
Language:English
Published: MDPI AG 2021-06-01
Series:Risks
Subjects:
e-mini-futures
intraday
price discovery
information share
speculators
hedgers
Online Access:https://www.mdpi.com/2227-9091/9/6/111

Internet

https://www.mdpi.com/2227-9091/9/6/111

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