Intraday Price Formation in Us Equity Index Markets

59 Pages Posted: 12 Nov 2008

See all articles by Joel Hasbrouck

Joel Hasbrouck

New York University (NYU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: November 2000

Abstract

The market for US equity indexes has traditionally comprised floor-traded index futures contracts and the individual markets for the component stocks. This picture has been altered by the advent of exchange-traded funds (ETFs) that mirror the indexes, electronically-traded, small-denomination (â¬SE-miniâ¬?) futures contracts, and (for the S&P 500) a family of sector ETFs that break the index into nine components. This paper empirically investigates price discovery (price leadership) in this new environment. The specifications are estimated at very fine (up to one second) time resolution. The principal findings are as follows.

Suggested Citation

Hasbrouck, Joel, Intraday Price Formation in Us Equity Index Markets (November 2000). NYU Working Paper No. FIN-00-046. Available at SSRN: https://ssrn.com/abstract=1300268

Joel Hasbrouck (Contact Author)

New York University (NYU) - Department of Finance ( email )

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