Price discovery in the foreign exchange futures market

Yiuman Tse*, Ju Xiang, Joseph K W FUNG

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

34 Citations (Scopus)

Abstract

Examination is made of the relative contributions to price discovery of the floor and electronically traded euro FX and Japanese yen futures markets and the corresponding retail on-line foreign exchange spot markets. GLOBEX electronic futures contracts provide the most price discovery in the euro; the on-line trading spot market provides the most in the Japanese yen. The floor-traded futures markets contribute the least to price discovery in both the euro and the Japanese yen markets. The overall results show that electronic trading platforms facilitate price discovery more efficiently than floor trading. Futures traders may also extract information from on-line spot prices.

Original languageEnglish
Pages (from-to)1131-1143
Number of pages13
JournalJournal of Futures Markets
Volume26
Issue number11
DOIs
Publication statusPublished - Nov 2006

Scopus Subject Areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

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