Malhotra, Jatin; Corelli, Angelo - In: Risks : open access journal 9 (2021) 6, pp. 1-18
This paper examines the relative contribution of regular and e-mini futures market to price discovery of EUR … indicate that regular futures market contributes significantly to the price discovery, accounting for approximately 66.5% of … price discovery in the EURO/USD market. This study also examines if the regular future's information share (IS) can be …