Journal articles: 'Price discovery process'

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ARNADE, CARLOS, and LINWOOD HOFFMAN. "THE IMPACT OF PRICE VARIABILITY ON CASH/FUTURES MARKET RELATIONSHIPS: IMPLICATIONS FOR MARKET EFFICIENCY AND PRICE DISCOVERY." Journal of Agricultural and Applied Economics 47, no. 4 (November 2015): 539–59. http://dx.doi.org/10.1017/aae.2015.24.

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AbstractThis study investigates the relationship between cash and futures prices of soybeans and soybean meal from 1992 to 2013. Error correction models are estimated for the prices of both commodities. An exogenous measure of price variability is included in both models to determine if variability increases the speed with which cash and futures prices return to their long-run equilibrium relationship. This is used to measure the impact of price variability on short-run market efficiency and the price discovery process. The findings indicate that the level of price variability influences market adjustment rates and the price discovery process.

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Boehmer, Ekkehart, and Juan (Julie) Wu. "Short Selling and the Price Discovery Process." Review of Financial Studies 26, no. 2 (September 3, 2012): 287–322. http://dx.doi.org/10.1093/rfs/hhs097.

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Lee, Woo–baik. "An Empirical Analysis on Change in Price Discovery of KOSPI200 Futures Through Market Maturity Process." Journal of Derivatives and Quantitative Studies 14, no. 2 (November 30, 2006): 51–77. http://dx.doi.org/10.1108/jdqs-02-2006-b0003.

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This paper estimates the contribution of KOSPI200 futures to spot price discovery based on methodology of ‘information share’, which is suggested by Hasbrouck (1995). Using the intraday data covering sample period from year 1997 to 2003, I estimate information share with specification of Vector Error Correction Model. Main empirical findings are summarized as followings; First. estimate of information share is above 60 percent on average through-out the entire sample period. Second. the contribution of KOSPI200 futures to error correction increased during the recent year of sample period. showing that futures price have strong tendency to lead the spot price. Third. price discovery of KOSPI200 futures have significantly positive relationship with program trading volume and seems to increase under contango. These empirical findings explain the ‘market maturity effect’ that role of futures in spot price discovery enhances as cointegration between futures and spot prices strengthens and futures market countervails the arbitrage opportunity. In general. this paper presents that mature futures market Significantly contributes to spot market efficiency and price discovery process.

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Singh, Sanjay Kumar, Mukesh Kumar Jain, and Shoeba. "Information Spillover in Indian Agricultural Commodities Market." Asia-Pacific Journal of Management Research and Innovation 16, no. 3 (September 2020): 179–87. http://dx.doi.org/10.1177/2319510x21994048.

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Role of agricultural sector in Indian economy is prominent, as being an agrarian economy and having the second highest population in the world. Thus, the efficiency of this sector is the foremost factor for development and growth of the economy. This article attempts to examine the price discovery relationship of future and spot prices of five agricultural commodities, namely cardamom, crude palm oil, cotton, mentha oil and kapas, during the period 2011–2019. Johansen’s co-integration test, vector error correction model (VECM) and Granger causality block exogeneity test were employed for the study. We found that price discovery process is established for agricultural commodities under consideration. Future prices act as a leader in achieving long-run equilibrium for all commodities except cardamom. Causality was significantly reported for all commodities, as bidirectional causality runs between the prices. The study suggests that Forward Market Commission should be empowered more to control and regulate the market, which will ensure the efficient market situations in these commodities’ market. Attempt was made to evaluate price discovery process in agricultural commodities market during post sub-prime crisis period, which was ignored by majority of researchers.

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Shrestha, Keshab, Sheena Philip, and Yessy Peranginangin. "Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process." American Business Review 23, no. 2 (November 2020): 393–407. http://dx.doi.org/10.37625/abr.23.2.393-407.

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This study empirically investigates the contributions of three crude oil-based exchange-traded funds (ETFs) in the price discovery process. Using daily data on the crude oil spot, near month crude oil futures, and three crude-oil-based ETFs, we analyze the price discovery contributions of the five-price series. We use two information share measures, namely the generalized information share (GIS) measure (Lien and Shrestha, 2014) and the permanent-temporary decomposition (PT/GG) measure (Gonzalo and Granger, 1995). We find that the futures market dominates the price discovery process. However, we also find that the crude-oil-based ETFs significantly contribute to the price discovery process. Thus, we find that additional ETFs play a significant role in price discovery. Therefore, they are not redundant in terms of their price discovery contributions.

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Shrestha, Keshab, Ravichandran Subramaniam, and Thangarajah Thiyagarajan. "Price Discovery in Agricultural Markets." American Business Review 23, no. 1 (May 2020): 53–69. http://dx.doi.org/10.37625/abr.23.1.53-69.

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In this study, we empirically analyze the contribution of futures markets to the price discovery process for seven agricultural commodities using the generalized information share proposed by Lien and Shrestha (2014) and component share based on the permanent-temporary decomposition proposed by Gonzalo and Granger (1995). We find that most of the price discovery takes place in the futures markets with the exception of cocoa. Our results show that futures markets play an important role in price discovery process. These results are important to academicians, practitioners, policymakers as well as business leaders.

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Lu, Chiuling, and Raymond W. So. "Price Discovery in the Taipei Residential Real Estate Market." Review of Pacific Basin Financial Markets and Policies 02, no. 04 (December 1999): 459–70. http://dx.doi.org/10.1142/s0219091599000254.

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The price discovery process of the Taipei residential real estate market is examined. Using data from the Ta-An District of Taipei City, empirical evidence indicates that there exists a causal relationship between rental rates and property prices. Results here suggest that the two real estate markets are linked together; hence investors and end users can use price information in one market to predict future movements of the other market.

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Kambeu, Edson, Olipha Mpofu, and Drayton Muchochoma. "Price discovery and Volatility.A Theoretical Approach." International Journal of Finance & Banking Studies (2147-4486) 6, no. 2 (October 20, 2017): 37. http://dx.doi.org/10.20525/ijfbs.v6i2.685.

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<p>In this paper we analyse and show how price discovery process influence the volatility of stocks. Using a theoretical approach, our initial analysis revealed that stocks experience ‘normal’ volatility as the price move from one equilibrium price to another as part of the price discovery process. Our further analysis revealed that, due to the inefficiency of financial markets, stocks also experience transitionary volatility which occurs when the price transition from one equilibrium price to another. The implication of these analytical findings means that the price discovery volatility effects can only be reduced by improving the efficiency of financial markets. Thus, we recommended that the financial microstructure be designed in a manner that promotes the efficiency of financial markets. </p>

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Clapham, Benjamin, and Kai Zimmermann. "Price discovery and convergence in fragmented securities markets." International Journal of Managerial Finance 12, no. 4 (August 1, 2016): 381–407. http://dx.doi.org/10.1108/ijmf-02-2015-0037.

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Purpose – The purpose of this paper is to study price discovery and price convergence in securities trading within a fragmented market environment where stocks are traded on multiple venues. The results provide novel empirical insights questioning the generalizability of the current literature and aim to expand the understanding of price determination in a fragmented market microstructure. Design/methodology/approach – This paper provides an empirical data analysis based on an event study methodology. The authors applied Thomson Reuters Tick History data covering German blue chip stocks listed on multiple venues in 2009 and 2013. Different time aggregations up to one second are applied to provide an in-depth analysis. Findings – The paper empirically discovers a persistent price leader-follower relationship not only during intraday auctions but also in subsequent continuous trading. The authors found that trading on alternative venues instantly dries out in case the dominant market switches to a call auction. In these situations, alternative markets await and adopt the official price signal of the dominant market although prices on alternative venues still indicate a certain extent of price discovery. This phenomenon remains persistent at different levels of market fragmentation, indicating that alternative trading venues fully accept the price leadership role of the dominant market, no matter their own market share. Originality/value – This paper provides an innovative empirical setup to analyze price co-movement and convergence based on high-frequent data. Further, the results provide novel and robust insights into the price determination process in fragmented markets that clarify the role of price follower and price leader.

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Seon, Junghoon, and Ji Soo Lee. "A Comparison of Price Efficiency between Korean New Market and Main Board." Journal of Derivatives and Quantitative Studies 23, no. 3 (August 31, 2015): 421–37. http://dx.doi.org/10.1108/jdqs-03-2015-b0005.

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In this paper, we make a comparison of price efficiency between the new market (KOSDAQ) and the main board (KOSPI) in the Korean stock market. More specifically, we evaluate the relative price efficiency of both markets by comparing the speed, degree and accuracy in process of intraday price discovery. Each market’s speed and degree of price discovery are measured by WPC (weighted price contribution) devised by Barclay and Warner (1993) and WPCT (weighted price contribution per trade) proposed by Barclay and Hendershott (2003), respectively. Each market’s accuracy of price discovery is measured by unbiased regression coefficient used by Biais et al. (1999). We analyze 535 KOSPI stocks and 803 KOSDAQ stocks using 1-minute-interval transaction data collected from Bloomberg. The major findings of this paper are summarized as follows: Fist, the price discovery in KOSDAQ, the new market is slower than in KOSPI, the main board. Second, the morning session’s degree of price discovery per trade in KOSDAQ is smaller than KOSPI. Finally, the price discovery in KOSDAQ is more accurate than in KOSPI. Overall, our results indicate that the prices of KOSDAQ stocks are as efficient as the prices of KOSPI stocks, thought they have smaller firm size, younger ages, and greater uncertainty in cash flow and asset value than the main board stocks do.

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Mallika, Mathew, and M. M. Sulphey. "Gold Exchange Traded Fund - Price Discovery and Performance Analysis." Scientific Annals of Economics and Business 65, no. 4 (December 1, 2018): 477–95. http://dx.doi.org/10.2478/saeb-2018-0024.

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Abstract The paper aims to examine the price discovery process and the performance of Gold Exchange Traded Funds especially with respect to two Gold ETFs, namely, Goldman Sachs Gold Exchange Traded Scheme (GoldBeEs) and SBI Gold Exchange Traded Scheme (SBIGETS), for the period 2009 – 2016. The study has employed Johansen cointegration and Johansen’s Vector Error Correction Model (VECM) for the price discovery analysis. The results of VECM reveal that the spot prices lead the Gold ETFs price during the study period. Tracking Error analysis shows that Gold ETFs have neither outperformed nor underperformed the spot price. Price Deviation analysis indicates that Gold ETFs are trading on an average lower than the spot price of gold. The entire analysis reveals that although the price discovery takes place in the spot market, Gold ETFs have performed as well as physical gold and the slight difference in price with that of Gold is only because of certain fees, which are applicable in the management of Gold ETFs.

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Kraizberg, Elli. "The Vouchers Privatization Process as a Price Discovery Mechanism." Review of Finance 3, no. 2 (August 1, 1999): 175–203. http://dx.doi.org/10.1023/a:1009837512758.

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Choudhary, Kapil, and Sushil Bajaj. "Price Discovery Process in Nifty Spot and Futures Markets." Global Business Review 14, no. 1 (February 2013): 55–88. http://dx.doi.org/10.1177/0972150912466444.

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Coronado, Ángela, Francisco Climent, and Dolores Furió. "The Reliability of Spanish and German Electricity Forward Prices. Databases and Price Discovery Process." Mathematics 9, no. 6 (March 15, 2021): 623. http://dx.doi.org/10.3390/math9060623.

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Given the existence of different databases from different sources that offer information on forward electricity prices, the need to compare them arises to guarantee that research results and trading decisions based on them are not sensitive to the database used. We worked with forward electricity prices traded over the counter, closest month to maturity, covering the period from 2010 to 2016 for the Spanish over the counter (OTC) market, and from 2008 to 2016 for the German OTC market. The goal of this paper was to test whether there were significant discrepancies between the price series provided by two of the main agencies of financial information (Thomson Reuters and Bloomberg), as well as to analyze the existence of causality relationships between them, both in the long-term and in the short-term. As a first step, we obtained the data availability and the distributional characteristics of each of the price series offered by the mentioned financial information providers for the Spanish and the German electricity OTC market. Then we studied the lead-lag relationship between two price series, previously chosen as representative of those provided by Thomson Reuters and Bloomberg, to ascertain if there are any leading databases that may systematically anticipate information with respect to the others.

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Gleason, Cristi A., and Charles M. C. Lee. "Analyst Forecast Revisions and Market Price Discovery." Accounting Review 78, no. 1 (January 1, 2003): 193–225. http://dx.doi.org/10.2308/accr.2003.78.1.193.

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We document several factors that help explain cross-sectional variations in the post-revision price drift associated with analyst forecast revisions. First, the market does not make a sufficient distinction between revisions that provide new information (“high-innovation” revisions) and revisions that merely move toward the consensus (“low-innovation” revisions). Second, the price adjustment process is faster and more complete for “celebrity” analysts (Institutional Investor All-Stars) than for more obscure yet highly accurate analysts (Wall Street Journal Earnings-Estimators). Third, controlling for other factors, the price adjustment process is faster and more complete for firms with greater analyst coverage. Finally, a substantial portion of the delayed price adjustment occurs around subsequent earnings-announcement and forecast-revision dates. Collectively, these findings show that more subtle aspects of an earnings revision signal can hinder the efficacy of market price discovery, particularly in firms with relatively low analyst coverage, and that subsequent earnings-related news events serve as catalysts in the price discovery process.

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Veld-Merkoulova, Yulia V. "Price limits in futures markets: effects on the price discovery process and volatility." International Review of Financial Analysis 12, no. 3 (July 2003): 311–28. http://dx.doi.org/10.1016/s1057-5219(03)00009-7.

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Thazhugal Govindan Nair, Saji. "Price discovery and pairs trading potentials: the case of metals markets." Journal of Financial Economic Policy 13, no. 5 (March 8, 2021): 565–86. http://dx.doi.org/10.1108/jfep-06-2020-0139.

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Purpose This study aims to validate the “expectancy theory” of asset pricing and explores the price discovery process in metals futures markets. Design/methodology/approach This paper adopts the Johansen cointegration and vector error correction model approach to investigate the potentials of Pairs trading in the metals market during the period 2008–2019. Findings The results find the price movements in metal markets are not random walk and the current “futures” prices are the reasonable estimate of the “spot” metal prices in future. This study does not notice any significant differences in the price efficiency across metals markets, which signal the effects of limited idiosyncratic forces in price transmission. Practical implications The research suggests the covert use of metal futures to make gains from arbitrage trading. Originality/value The study emphasizes the potential of “pair trading” in commodity market context that is seldom discussed in academic papers.

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Xu, Yuanyuan, Fanghui Pan, Chuanmei Wang, and Jian Li. "Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach." Journal of Agricultural and Applied Economics 51, no. 04 (August 1, 2019): 664–81. http://dx.doi.org/10.1017/aae.2019.23.

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AbstractWe investigate the dynamic evolution of the price discovery function in Chinese agricultural futures markets using a newly developed rolling window cointegration approach. The results show that, compared with wheat and rice, the futures-spot cointegration relationship in the soybean and corn markets tends to be more durable and frequent. Dynamic cointegration analysis indicates that the recent market-oriented reforms in China have boosted the price discovery function of soybean and corn futures markets, whereas price stabilization policies tend to weaken the price discovery function of futures markets. The difference in price discovery function is attributed to differences in market mechanisms and Chinese agricultural policies.

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Dimpfl, Thomas, and Alexander Reining. "Price Discovery and Learning during the German 5G Auction." Journal of Risk and Financial Management 14, no. 6 (June 18, 2021): 274. http://dx.doi.org/10.3390/jrfm14060274.

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The auctioning of frequency has to comply with a multitude of requirements in order to guarantee a transparent and efficient process. The German Federal Network Agency (Bundesnetzagentur) has opted for a design that provides participants with information on the highest bid after each round for every band along with information on the bidder. We evaluate the price formation efficiency in this setup to see how fast prices become informative about the final auction value. We find that prices are partially informative right from the beginning which allows us to conclude that participants were able to learn fast from their competitors’ bidding behavior and validates the choice of the agency to implement the auction in the present format.

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Fong, Kingsley, and Ralf Zurbruegg. "How much do locals contribute to the price discovery process?" Journal of Empirical Finance 10, no. 3 (May 2003): 305–20. http://dx.doi.org/10.1016/s0927-5398(02)00053-1.

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Månsson, Kristofer, Ghazi Shukur, and Pär Sjölander. "Asymmetric quantile analysis of the Swedish mortgage price discovery process." Applied Economics 45, no. 21 (July 2013): 3088–101. http://dx.doi.org/10.1080/00036846.2012.681030.

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Arnade, Carlos, and Gary Vocke. "Seasonal Variation in the Price Discovery Process of International Wheat." Agribusiness 32, no. 1 (June 30, 2015): 16–32. http://dx.doi.org/10.1002/agr.21428.

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Schwartz, Robert, Avner Wolf, and Jacob Paroush. "The dynamic process of price discovery in an equity market." Managerial Finance 36, no. 7 (June 15, 2010): 554–65. http://dx.doi.org/10.1108/03074351011050307.

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Chaturvedula, Chakrapani, and Nikhil Rastogi. "The Effectiveness of Price Bands on Emerging Markets: Evidence from India." Accounting and Finance Research 7, no. 4 (November 23, 2018): 195. http://dx.doi.org/10.5430/afr.v7n4p195.

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We study the impact of price bands in the Indian capital markets and following the methodology of Kim and Rhee (1997) we do not find evidence in support of the volatility spillover hypothesis. Our evidence suggests that price limits does not hinder the price discovery process and may play an important role in reducing the volatility of stock prices in the emerging markets like India.

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Tata, Fidelio. "Price formation of FICC research following MiFID II unbundling rules." Journal of Financial Regulation and Compliance 28, no. 1 (August 19, 2019): 97–113. http://dx.doi.org/10.1108/jfrc-02-2019-0018.

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Purpose Traditionally, full-service broker/dealers catering to institutional investors have bundled trade execution with investment research. Since 2018, new market regulation has forced broker/dealers to unbundle and to sell research separately. The purpose of this paper is to shed some light on the expected pricing of research. Design/methodology/approach A stylized model is presented in this study in which a monopolist fixed income, currencies and commodities (FICC) research provider faces a linear demand function and picks an appropriate price schedule. Findings It is shown that it is important to initiate the price discovery process using a low price and that some broker/dealers will not be able to identify a regulatory compliant price/quantity solution because their research-production fixed cost is very high compared to the research demand function they face. Practical implications There are three main findings from our model: pricing research at cost is not always possible; if there is a unique solution, an iterative approach only works when starting off with a low-enough initial price; and if there are two solutions, only the low-cost/high-volume solution can be discovered in an iterative process. Originality/value The results presented are important to broker/dealers about to discover the market demand for their FICC research publications on the back of the implementation of MiFID II. Having distributed FICC research for free in the past, they have no knowledge about the demand function (other than what is demanded at a price of zero). Because research publications are highly differentiated products, observing the pricing of competitors is insufficient. Iteratively gaining knowledge about the demand function using price adjustments and customer questionnaires becomes the most likely mean for discovering the demand function. It is important to initiate the price discovery process with a low price. Some broker/dealers will not be able to identify a regulatory compliant price/quantity solution because their research-production fixed cost is too high compared to the research demand function they face. Finally, it is shown that these broker/dealers with two possible equilibriums face difficulty in identifying the high-price/low-volume research equilibrium because of the non-converging nature of the iterative process.

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Kumar Mahalik, Mantu, Debashis Acharya, and M. Suresh Babu. "Price discovery and volatility spillovers in futures and spot commodity markets." Journal of Advances in Management Research 11, no. 2 (July 29, 2014): 211–26. http://dx.doi.org/10.1108/jamr-09-2012-0039.

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Purpose – The purpose of this paper is to investigate empirically the price discovery and volatility spillovers in Indian spot-futures commodity markets. Design/methodology/approach – The study has used four futures and spot indices of Multi-Commodity Exchange, Mumbai. The study also employs vector error correction model (VECM) and bivariate exponential Garch model (EGARCH) to analyze the price discovery and volatility spillovers in Indian spot-futures commodity market. Findings – The VECM shows that agriculture future price index (LAGRIFP), energy future price index (LENERGYFP) and aggregate commodity index (LCOMDEXFP) effectively serve the price discovery function in the spot market implying that there is a flow of information from future to spot commodity markets but the reverse causality does not exist. There is no cointegrating relationship between metal future price index (LMETALFP) and metal spot price index (LMETALSP). Besides the bivariate EGARCH model indicates that although the innovations in one market can predict the volatility in another market, the volatility spillovers from future to the spot market are dominant in the case of LENERGY and LCOMDEX index while LAGRISP acts as a source of volatility toward the agri-futures market. Research limitations/implications – The results are aggregate in nature. Further study at disaggregated level will provide further insights on behavior of specific commodity prices and the price discovery process. Originality/value – The paper provides useful information about the evolution and structures of futures commodity trading in India, related literature and relevant methodology concerning the hypotheses.

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Nguyen, Ngan Bich. "The Price Discovery Mechanism between Sovereign Bond and Sovereign CDS Market: Studies in Selected Countries." Asian Journal of Finance & Accounting 9, no. 2 (December 15, 2017): 270. http://dx.doi.org/10.5296/ajfa.v9i2.11636.

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This paper employs the multivariate VAR model to examine the mechanic work of price discovery process between sovereign CDS market and the associated sovereign bond market in contexts of five European and Asian countries, including Vietnam, Korea, Portugal, Italy and France from the beginning of 2008 to the end of April, 2017. The study accentuates on three aspects: the short-term interaction nexus between the sovereign CDS and the associated-sovereign bond market, the long-term co-movement between them and the discovery of which market plays the leading role in the pricing process. The results evidence the short-run and long-run relationship for the two markets. Particularly, the empirical test results support for the predominant role of the sovereign CDS market in the price discovery process in the bulk of sample entities. This might suggests for the governments to use CDS prices as the future indicator for predicting the volatility of debt markets.

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Reddy, Amarender. "Market integration of grain legumes in India: the case of the chickpea market." SAARC Journal of Agriculture 10, no. 2 (March 11, 2014): 11–29. http://dx.doi.org/10.3329/sja.v10i2.18320.

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The present study assesses the market integration of chickpea in India from 2003 to 2010. The month end prices of chickpea for twelve markets in north India were used for the study. Out of twelve markets, only three markets are cointegrated, indicating weak integration of chickpea markets in India. However, the terminal markets located in major consuming (Delhi) and export/import locations (Dohad/Gujarat) clearly play an important role in price discovery and influences other domestic markets indicating the relevance of the import prices and large consuming centres on local market prices. Error correction terms indicate that the adjustment process from short-term disequilibrium in prices to long run price equilibrium is very slow. Overall, there is evidence of weak cointegration in the chickpea markets in North India and imports and major consuming centres are playing an important role in price discovery in domestic chickpea markets.DOI: http://dx.doi.org/10.3329/sja.v10i2.18320 SAARC J. Agri., 10(2): 11-29 (2012)

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Seon, Junghoon. "Widened Price-Limits and Efficiency of Price Discovery over the Course of a Trading Day." Journal of Derivatives and Quantitative Studies 24, no. 2 (May 31, 2016): 245–67. http://dx.doi.org/10.1108/jdqs-02-2016-b0003.

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Korea Exchange has widen daily price limits from ±15% to ±30% of previous trading day’s closing price since June 15, 2015. In this paper, we examine how the event of widening price limits affect price discovery process over the course of trading day. In order to conduct this investigation, we compare price efficiency during such price discovery before and after the event. The changes that has occurred after the event can be summarized as follows: First, an analysis on full-sample indicates that price efficiency is maintained over the course of a trading, while it is aggravated temporary in two early intervals. Second, an analysis on sub-samples sorted by market capitalization, shares outstanding, or share price indicates that temporary aggravation of price efficiency in some mid-intervals is observed for shares outstanding lower group and share price top group. Overall, our results suggest that evidence supporting information hypothesis is found for the whole process of price discovery over the course of a trading day, though evidence supporting over-reaction hypothesis is found in some intervals or some types of stocks.

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Sharma, Prashant, and Varun Chotia. "Efficiency of Currency Derivatives in Price Discovery Process: Evidences from India." Theoretical Economics Letters 09, no. 05 (2019): 1669–81. http://dx.doi.org/10.4236/tel.2019.95106.

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Domowitz, Ian. "Automating the Price Discovery Process: Some International Comparisons and Regulatory Implications." IMF Working Papers 92, no. 80 (1992): i. http://dx.doi.org/10.5089/9781451850253.001.

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Pascual, Roberto, Bartolomé Pascual-Fuster, and Francisco Climent. "Cross-listing, price discovery and the informativeness of the trading process." Journal of Financial Markets 9, no. 2 (May 2006): 144–61. http://dx.doi.org/10.1016/j.finmar.2006.01.002.

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Ngene, Geoffrey M., M. Kabir Hassan, and Nafis Alam. "Price discovery process in the emerging sovereign CDS and equity markets." Emerging Markets Review 21 (December 2014): 117–32. http://dx.doi.org/10.1016/j.ememar.2014.08.004.

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Domowitz, Ian. "Automating the price discovery process: Some international comparisons and regulatory implications." Journal of Financial Services Research 6, no. 4 (January 1993): 305–26. http://dx.doi.org/10.1007/bf01046073.

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Kambeu, Edson. "The role of Exchange Traded Funds in the price discovery process of stocks listed on the Botswana Stock Exchange." International Journal of Finance & Banking Studies (2147-4486) 6, no. 1 (July 21, 2019): 141–48. http://dx.doi.org/10.20525/ijfbs.v6i1.662.

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In this paper we analyse the role of Exchange Traded Funds (ETFs) in the price discovery process of stocks listed at the Botswana Stock Exchange.Using daily returns data covering the period 3 January 2013 to 31 December 2015 for Beta Betta ETF and Domestic Company Indices, we utilize a VECM model to find out whether the Betta Beta ETF is playing a significant role in the price discovery process of stocks listed on the Botswana Stock Exchange. We found the error correction term to be statistically significant thereby confirming that the Beta Betta ETF is playing a significant role in the price discovery of stocks listed on the Botswana Stock Exchange.

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Dickov, Veselin. "The basis of the discovery process for a new pharmaceutical product." Open Medicine 7, no. 6 (December 1, 2012): 691–99. http://dx.doi.org/10.2478/s11536-012-0080-2.

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AbstractThe basis of the discovery process for a new pharmaceutical product is in understanding the mechanism of action of a particular disease or processes in the organism related to the disease and/or its symptoms. The essence of a pharmaceutical is in the active ingredient capable of affecting processes within the organism beneficially. The discovery process includes a particular sequence of activities of various profiles of experts, about which various authors agree. The history of pharmaceutical industry (and pharmacy) is measured from one discovery of an innovative drug or approach to treatment of a particular disease to the next one. The cost of pharmaceutical products is one of the key causes of controversy related to this industry. Numerous cultures have proverbs expressing the opinion that health is priceless or that health is the greatest wealth. What if health does have a price? One of the basic premises of marketing is that price should reflect consumer value.

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Dutt, Mala, and Sanjay Sehgal. "Domestic and International Information Linkages between Gold Spot and Futures Markets: An Empirical Study for India." Metamorphosis: A Journal of Management Research 17, no. 1 (May 8, 2018): 1–17. http://dx.doi.org/10.1177/0972622518761745.

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This article examines information linkages between gold spot market in India and gold futures at India’s Multi Commodity Exchange (MCX) and five international platforms [i.e., Commodity Exchange (COMEX), Dubai Gold and Commodity Exchange (DGCX), Tokyo Commodity Exchange (TOCOM), Hong Kong Exchange (HKE) and Singapore Mercantile Exchange (SMX)] from August 2008 to March 2015. Cointegration procedure and vector error correction model (VECM), supported by Granger causality, are employed to study price discovery process, and bivariate EGARCH-BEKK model is used to examine volatility spillover process. At domestic level, spot market dominates the futures in information transmission process. Internationally, DGCX leads all other exchanges in price discovery process, while COMEX leads in volatility spillovers. In price discovery, MCX leads only TOCOM till August 2013, while price discovery is absent thereafter. In volatility spillovers, MCX dominates TOCOM and HKE till this period and only HKE afterwards. Thus, information linkages between MCX and international exchanges appear to have been impacted severely since August 2013. The study highlights the need to re-establish price and volatility linkages between Indian and international exchanges, and also provides significant suggestions for policymakers. The study is relevant for investors, researchers and the academia. It contributes to market efficiency and information transmission literature for commodity markets.

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Chen, Jun, Alireza Tourani-Rad, and Ronghua Yi. "Short sales and price discovery of Chinese cross-listed firms." International Journal of Managerial Finance 12, no. 4 (August 1, 2016): 408–21. http://dx.doi.org/10.1108/ijmf-02-2015-0025.

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Purpose – The purpose of this paper is to investigate the impact of short selling and margin trading on the price discovery and price informativeness of cross-listed firms, using a sample of Chinese firms listed on the China and Hong Kong stock exchanges. Design/methodology/approach – The sample consists of 67 Chinese cross-listed firms on A-share and H-share markets out of which 18 firms are allowed to be sold short/ traded on margin since March 2010. Using pre- and post-event period, the authors compare and contrast various market microstructure variables. The contributions of the home (A-share) and overseas (H-share) markets to the incorporation of new information into prices are calculated following the permanent-transitory approach of Gonzalo and Granger (1995) as well as the adverse selection component of Lin et al. (1995). Findings – The findings indicate that for the group of Chinese cross-listed firms that are not allowed to be sold short or bought on margin, the home (A-share) market contributes more to the price discovery process over time. However, for the group of cross-listed firms that are eligible for short selling and margin trading, the authors observe no significant difference in the contribution of either A- or H-share markets to the price discovery. The contribution of home market for these firms is even lower around the announcement of major events. The authors further find that while the short sale activities appears to be informative, measured by the adverse selection (AS) component of spread, on the whole they have not led the A-share markets to be more informative. Research limitations/implications – The sample of cross-listed Chinese firms that are allowed to be sold short or bought on margin are rather limited. Hence, the results should be read with some caution. Practical implications – The removal of short selling constraints appears to improve the contribution of the respective markets to the process price discovery, in the case for larger cross-listed firms. Originality/value – The authors shed new lights on how the introduction of short selling and margin trading impacts on the price discovery of the Chinese cross-listed firms. A further contribution of the study is the use of high frequency data, while most of the previous studies on the Chinese markets use daily data.

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Mallikarjunappa, T., and E. M. Afsal. "Price Discovery Process and Volatility Spillover in Spot and Futures Markets: Evidences of Individual Stocks." Vikalpa: The Journal for Decision Makers 35, no. 2 (April 2010): 49–62. http://dx.doi.org/10.1177/0256090920100205.

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This paper analyses information-based superiority of markets mainly with an objective of exploring arbitrage opportunities. It attempts to determine the lead-lag relationship between spot and futures markets in the Indian context by using high frequency price data of twelve individual stocks, observed at one-minute interval. The study applies the concept of co-integration and establishes the spot-futures relationship using Vector Error Correction Mechanism (VECM) represented by EGARCH framework. To study the price discovery process in the two markets, five lags each of one-minute resolution for nine individual stocks and four lags for the remaining three stocks are chosen. The key results of the study are given below: There is a contemporaneous and bi-directional lead-lag relationship between the spot and futures markets. A feedback mechanism of short life is functional between the two markets. Price discovery occurs in both the markets simultaneously. There exists short-term disequilibrium that could be corrected in the next period. Volatility spillover from spot market to futures market is present in such a way that a decrease in spot volatility leads to a decrease in futures volatility. Volatility shocks are asymmetric and persistent in both the markets. Spillover from futures market to spot market is not significant. Neither spot nor futures assume a considerable leading role and neither of the markets is supreme in price discovery. In the case of 33.33 per cent of spot values and 33.33 per cent of futures values, there exists short-term disequilibrium that could be corrected in the next period by decreasing the prices. Spot market volatility spills over to futures market in most of the cases (66.66 %) and a decrease in spot volatility brings about a decrease in futures volatility in 50 per cent of the cases. Spillover effect from futures to spot market is present and significant in 91.66 per cent of stocks and is more than the spillover effect from spot to futures (50% valid cases). The markets are highly integrated. Asymmetric behaviour of volatility shocks is mixed in both the markets. Asymmetric volatility is detected in 50 per cent of the cases of spot market and 58.33 per cent cases of futures market. Stocks exhibiting asymmetric volatility show more sensitivity to negative shocks. There are no cases of market becoming more volatile in response to good news.

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Schenck, Natalya A., Philip A. Horvath, and Amit K. Sinha. "Understanding price discovery in interconnected markets: Generalized Langevin process approach and simulation." Physica A: Statistical Mechanics and its Applications 491 (February 2018): 741–48. http://dx.doi.org/10.1016/j.physa.2017.08.132.

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Sehgal, Sanjay, Wasim Ahmad, and Florent Deisting. "An investigation of price discovery and volatility spillovers in India’s foreign exchange market." Journal of Economic Studies 42, no. 2 (May 11, 2015): 261–84. http://dx.doi.org/10.1108/jes-11-2012-0157.

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Purpose – The purpose of this paper is to examine the price discovery and volatility spillovers in spot and futures prices of four currencies (namely, USD/INR, EURO/INR, GBP/INR and JPY/INR) and between futures prices of both stock exchanges namely, Multi-Commodity Stock Exchange (MCX-SX) and National Stock Exchange (NSE) in India. Design/methodology/approach – The study applies cointegration test of Johansen’s along with VECM to investigate the price discovery. GARCH-BEKK model is used to examine the volatility spillover between spot and futures and between futures prices. The other two models namely, constant conditional correlation and dynamic conditional correlation are used to demonstrate the constant and time-varying correlations. In order to confirm the volatility spillover results, the study also applies test of directional spillovers suggested by Diebold and Yilmaz (2009, 2012). Findings – The results of the study show that there is long-term equilibrium relationship between spot and futures and between futures markets. Between futures and spot prices, futures price appears to lead the spot price in the short-run. Volatility spillover results indicate that the movement of volatility spillover takes place from futures to spot in the short-run while spot to futures found in the long-run. However, the results of between futures markets exhibit the dominance of MCX-SX over NSE in terms of volatility spillovers. By and large, the findings of the study indicate the important role of futures market in price discovery as well as volatility spillovers in India’s currency market. Practical implications – The results highlight the role of futures market in the information transmission process as it appears to assimilate new information quicker than spot market. Hence, policymakers in emerging markets such as India should focus on the development of necessary institutional and fiscal architecture, as well as regulatory reforms, so that the currency market trading platforms can achieve greater liquidity and efficiency. Originality/value – Due to recent development of currency futures market, there is dearth of literature on this subject. With the apparent importance of currency market in recent time, this study attempts to study the efficient behavior of currency market by way of examining the price discovery and volatility spillovers between spot and futures and between futures prices of four currencies traded on two platforms. The study has strong implications for India’s stock market especially at the time when its currency is under great strain owing to the adverse impact of global financial crisis.

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Tampakoudis, Ioannis A., Andrius Tamošiūnas, Demetres N. Subeniotis, and Ioannis G. Kroustalis. "THE INTERACTIONS AND TRADE-OFFS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) AND BOND SPREADS IN A DYNAMIC CONTEXT." Journal of Business Economics and Management 20, no. 3 (April 23, 2019): 466–88. http://dx.doi.org/10.3846/jbem.2019.9759.

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This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and bond spreads of the highly indebted southern European countries, considering an extensive time sample from the period before the global financial crisis to the latest developments of the sovereign indebtedness in the euro area. We employ an integrated price discovery methodology on a rolling sample, with the intention to shed light on whether the CDS spreads can trigger rises in bond spreads, and the relative efficiency of credit risk pricing in the CDS and bond markets. In addition, we attempt to depict the evolution of the price discovery process regarding the direction of influence from one market to the other. The rolling window analysis verifies that the price discovery process evolves over time, presenting frequent alternations concerning the leading market. We find that during periods of economic turbulence the CDS market leads the bond market in price discovery, incorporating the new information about sovereign credit risk faster and more efficiently than the bond market does. This regularity should be seriously considered by private and public participants as they make investment and funding decisions. Therefore, the motivation of our paper is to identify the dominant market in terms of price discovery during a period of economic turmoil and, thus, to provide insights for decision making to investment bodies and central governments.

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Singh, Abhishek Kumar, Mandar Nayak, and D. V. R. Seshadri. "Marketing “Value” to Price-Sensitive Customers during the Tendering Process." Vikalpa: The Journal for Decision Makers 38, no. 4 (October 2013): 49–68. http://dx.doi.org/10.1177/0256090920130404.

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Given the importance of tendering for procurement in B2B markets in India, this paper explores how value may be showcased in tendering situations. It analyses the various perceptions surrounding the tendering process and recommends possible mechanisms to capture customer value from two perspectives — marketing techniques to be employed by suppliers to ensure commensurate and fair return for value delivered and potential design changes in the price-discovery mechanism in tendering. This paper discusses the tendering process from structural, supplier, and buyer perspectives. It explores mechanisms through which superior value delivered by the supplier firm can be captured in the tendering process. For this, 26 supplier and customer firm managers from 10 government and private organizations were interviewed to understand the current practices for value capture in tendering. Several case studies drawn from these discussions are presented to illustrate the ideas developed in the paper. The study finds that suppliers can extract returns for the value of their offerings in a tendering situation by early engagement with buyers before the specifications are frozen by leveraging relationships with the buyer organization and at pre-bid meetings, and by exploiting opportunities provided through technical loading after the specifications are decided. Additionally, it is suggested that the buyer organization should leverage the opportunities inherently available to further improve price-discovery via structural changes to the tendering process by using a tiered adjusted-price bid mechanism. The alternate pricing method discussed in the paper could be used to aid the decisionmaking process in tendering and enable a robust value capturing mechanism.

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Laih, Yih-Wenn, and Chun-An Li. "Information shares: Empirical evidence from the FTSE China A50 index and the iShares FTSE A50 China tracker." Corporate Ownership and Control 6, no. 4 (2009): 83–87. http://dx.doi.org/10.22495/cocv6i4p8.

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We study the price discovery process and common factor weights of SS50 (the FTSE China A50 Index traded in Mainland China) and A50 (the iShares FTSE A50 China Tracker traded in Hong Kong) using daily open-to-open price pairs and close-to-close price pairs. Due to Qualified Domestic Institutional Investor (QDII) scheme (13 April 2006) and US subprime mortgage crisis (middle 2007), our sample, which covers from November 18, 2004 to October 31, 2008, is divided into three periods. We find A50 has a much larger common factor weight than SS50, and A50 dominants for both open and close prices during all periods. The QDII enlarges the contribution of SS50, but financial crisis reduces it.

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Li, Nan. "The price discovery process in credit derivative market: evidence from sovereign CDS market." American J. of Finance and Accounting 1, no. 4 (2009): 393. http://dx.doi.org/10.1504/ajfa.2009.031775.

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Binh, Ki Beom, Seokjin Woo, and Sang Min Lee. "Does CDS Premium Most Predict Sovereign Default Risk?" Journal of Derivatives and Quantitative Studies 22, no. 3 (August 31, 2014): 495–530. http://dx.doi.org/10.1108/jdqs-03-2014-b0005.

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This paper empirically analyzes the price discovery process between Korean sovereign CDS premium, spread of Korean government debt, Won-Dollar currency swap rate, and Won-Dollar FX rate. With the global financial and fiscal crisis, especially in the U.S. and Euro-zone, the interests in sovereign default risk have risen. Interests in CDS, an OTC credit derivative contract based on debt issuer’s default risk, also have increased. A large number of presses have reported that CDS premium would be the best international market indicator for the default risk taken or transferred. However, internationally the CDS market liquidity has not been sufficient enough to validate its properties. Hence, based on empirics, this paper discusses whether Korean sovereign CDS premium can be considered as an appropriate indicator of sovereign credit risk in the Korean economy. Other largely accepted indices which contain the similar information about Korean economic fundamental and Korean external sovereign credit risk are also analyzed and compared: the spread of Korean government debt, Won-Dollar Currency Swap Rate, and Won-Dollar FX rate. Our findings include: (a) in the price discovery process, Won-Dollar spot rate contributes to the price discovery especially most ‘during the financial crisis period’ and the ‘entire period’ (b) Within the period ‘after the financial crisis’, CDS premium and the other indices have mutual influences on the price discovery process higher than the period ‘before the financial crisis’ (c) while Won-Dollar forward rate shows the similar result with Won-Dollar spot rate, NDF rate and CDS premium make the largest mutual influence on price discovery in the period ‘before the financial crisis.’

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Reddy, Nirmala K., B. M. Chandra Shekar, and R. Munilakshmi. "Future Trading in India and Commodity Price Risk Management: A Pragmatic Study." SDMIMD Journal of Management 5, no. 1 (April 4, 2014): 75. http://dx.doi.org/10.18311/sdmimd/2014/2672.

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Commodity future markets in India are experiencing unparalleled growth and have attained critical economic significance in the last one decade. On the other hand, instability in commodity prices is becoming an issue of great concern not only for India, but all over the world impacting income, economic growth and a poor adversely. Ever-increasing demand and supply side constraints are adding to the upsurge in prices of metal and agricultural commodities, affecting manufacturers and consumers at the same time. Moreover, farmer participation in the market has been very poor. So the price risk management in commodity is not a cliché but a necessity for the development of future market. In an agriculture based economy like India, commodity derivatives are expected to play a pivotal role in the process of price discovery and risk management. The price discovery in futures markets would not be effective unless spot markets are regulated and integrated. The present paper aims to analyse the performance of futures trading in improvising commodity price risk management in India. The study employs co-integration technique to study the existence of long-term relationship between the spot and future prices of agricultural and metal commodities traded in Indian commodity exchanges. The study also explores the volatility aspect in spot and future prices to test the informational efficiency of the contracts and comment on their suitability for hedging activities. Based on the results, propositions would be made on the nature of speculative conditions and offer suggestions for improvement futures trading in commodities.

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Rout, Bhabani Sankar, Nupur Moni Das, and K. Chandrasekhara Rao. "Functional Effectiveness of Commodity Futures Market: A Comparative Assessment of Agricultural and Metal Commodities." Paradigm 25, no. 1 (June 2021): 42–60. http://dx.doi.org/10.1177/09718907211023594.

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The study focuses on examining the price discovery process, short run disturbances and hedging mechanism of agricultural and metal commodities futures market for the period January 2010 to December 2018. Contango and normal backwardation have also been taken into deliberation for select commodities which are traded in MCX and NCDEX, India which is a valuable addition to the existing body of literature in derivatives market. Johansen’s co-integration, VECM, Granger causality test and OLS are employed for understanding the price discovery and constant hedging for select commodities. Further, existence contango and normal backwardation have been observed by comparing the spot and futures prices. It has been found that spot market is acting as a leader in the longer period and laggard in short run investors can be benefitted to take short run or long run investment decision.

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Singh, Amrinder, and Tarun Kumar Soni. "Price Transmission in Cotton Futures Market: Evidence from Three Countries." Journal of Risk and Financial Management 14, no. 9 (September 14, 2021): 444. http://dx.doi.org/10.3390/jrfm14090444.

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This study examines the price transmission between cotton prices in U.S., Indian, and Chinese futures markets. We focus on studying the long-run price movements using cointegration and alternate causality tests. The empirical results indicate the following: (a) the U.S. cotton futures market continues to be the most dominant market, and it leads price changes in India and China; (b) the cotton prices in India also impacts the cotton prices in China as we report a unidirectional relationship flowing from India to China; (c) there is duality of direction of price transmission for U.S. and Chinese commodity markets as we document bi-directional causality between U.S. to Chinese cotton futures for the entire period and uni-directional causality from U.S. to Chinese markets for the two sub-periods; (d) the long-term relationship between the three markets has seen a significant shift as documented by the absence of cointegration which may be due to changes in government policy, especially in India and China specifically after 2014. Overall, results provide support for further reforms especially for Indian and Chinese commodity exchanges so that they can play a vital role in the price discovery process especially for commodities that are largely produced or consumed in these economies.

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Kang, Seok-Kyu. "A Study on the Price Discovery in Korea Stock Index Markets: KODEX200, KOSPI200, and KOSPI200 Futures." Journal of Derivatives and Quantitative Studies 17, no. 3 (August 31, 2009): 67–97. http://dx.doi.org/10.1108/jdqs-03-2009-b0003.

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This paper examines the price discovery process among the Korea stock index markets using the vector error correction model (VECM) and the multivariate generalized auto regressive conditional heteroskedasticity (M-GARCH) model. The minute-by-minute price series of the KOSPI200 index, KOSPI200 futures, and KODEX200 are cointegrated. The empirical results are summarized as follows: First, VECM estimation results indicate that when the cointegrating relationship is perturbed by the arrival of ntis, the KODEX200(ETF) does not adjusted to restore equilibrium. This is the task of the KOSPI200 futures and spot. These two index securities use the KODEX200 to represent the ntioequilibrium price, with the KOSPI200 futures responding faster than the KOSPI200 spot. When the cointegrating relationship betweeiesOSPI200 spot and futues is perturbed by the arrival of ntis, the KOSPI200 spot does adjusted to restore equilibrium. Next, the results from the multivariate GARCH modes indicate that the volatilities of esOSPI200 spot and futures markets suggest unidirectiona1volatility spillover from KOSPI200 futures to KOSPI200 spot. KODEX200(ETF) volatilities spill over bothesOSPI200 spot and futures markets. and this happen in the reverse direction with a strong effect from the KODEX200 to KOSP200 futures and spot. The overall findings indicate that the KODEX200(ETF) market dominates KOSPI200 futures and spot in the price discovery process. The regulation of Instutional traders on trading on futures markets explains its superior price discovery function.

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Journal articles on the topic 'Price discovery process'

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