Compares the trading efficiency of electronic and open outcry futures markets. Argues that the difference between the German DAX (floor) and FDAX (electronic) markets is due to asset type, not to information processing speed. Describes the German trading environment, comparing trading data from 1992 to 1994. Shows that the returns for DAX are positively skewed and for FDAX negatively skewed and more volatile. From regression and Granger causality tests establishes a feedback relationship between the two markets, in which the spot market is slower to digest information than the futures market. Points out that the dominant DAX stocks are also traded electronically, so the means of trade is not the cause of the difference.
Paul Broussard, J., Geoffrey Booth, G. and Loistl, O. (1998), "Price discovery in German stock and futures markets", Managerial Finance, Vol. 24 No. 4, pp. 3-18. https://doi.org/10.1108/03074359810765444Download as .RIS
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