This paper investigates whether market quality, uncertainty, investor sentiment and attention,
and macroeconomic news affect bitcoin price discovery in spot and futures markets. Over the …

Passive investments such as exchange-traded funds (ETFs) provide an opportunity to invest
in indexes, asset classes, and sectors with low maintenance costs and high transparency …

Which market impounds new information faster into prices, the index futures market or the
spot market? Transaction costs are lower in the futures market. Given that the magnitude of …

In this chapter we examine the three main types of mutual funds, open end funds, closed
end funds and exchange traded funds. After a description of each of these organizational …

This paper examines the relative information shares of the Bund, ie the 10-year Euro bond
future contract on German sovereign debt, versus two futures with shorter maturity. We find …

I investigate the relation between exchange-traded fund (ETF) flows and their underlying
securities' returns using a unique fund-level database covering US equity ETFs, adjusted for …

This study sets out to examine the dynamics of price discovery between the S&P 500 index
and its derivative products: the index futures, the index options, the S&P 500 exchange …

In this paper, we study relative price discovery for three major US indices, their futures and
exchange traded funds (ETFs) using intra-day price movements from 2003 until 2013. The …

Using proprietary account-level transaction data in the futures market where day traders are
self-declared ex ante, this study investigates whether day traders enhance price discovery at …

We introduce a new indicator of relative liquidity, equivalent volume (EV), based on the
amount of a stock traded indirectly through its inclusion in ETFs. We hypothesize that the EV …