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dc.contributor.authorHou, Yang (Greg)en_NZ
dc.contributor.authorLi, Stevenen_NZ
dc.coverage.spatialNew York, USAen_NZ
dc.date.accessioned2021-05-30T23:43:46Z
dc.date.available2021-05-30T23:43:46Z
dc.date.issued2017en_NZ
dc.identifier.citationHou, Y., & Li, S. (2017). Time-varying price discovery and autoregressive loading factors: Evidence from S&P 500 cash and e-mini futures markets. Presented at the 2017 Global Finance Conference, New York, USA.en
dc.identifier.urihttps://hdl.handle.net/10289/14348
dc.description.abstractThe error correction coefficients, known as the loading factors, are a key component for price discovery measurement. So far, the loading factors have always been assumed as static. This paper is the first one to investigate the time-varying loading factors for the price discovery measurement. Based on the minute-by-minute data from the S&P 500 cash and E-mini futures markets, this paper reveals that the loading factors are indeed autoregressive of order 1 (AR(1)) which confirms the self-dependence nature of informed trading. Furthermore, we propose three AR(1) processes for the loading factors and assess their performance in price discovery measurement compared to the static loading factor model. Overall, this research confirms the importance of autoregressive loading factors for the price discovery measurement.
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.rights© copyright with the authors
dc.source2017 Global Finance Conferenceen_NZ
dc.subjectPrice Discovery
dc.subjectInformation Share
dc.subjectLoading Factor
dc.subjectAGDCC GARCH
dc.subjectS&P 500 E-mini Futures
dc.subjectError Correction Coefficient
dc.titleTime-varying price discovery and autoregressive loading factors: Evidence from S&P 500 cash and e-mini futures marketsen_NZ
dc.typeConference Contribution
pubs.elements-id200373
pubs.finish-date2017-05-06en_NZ
pubs.publisher-urlhttps://glofin.org/conferenceen_NZ
pubs.start-date2017-05-04en_NZ


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