Kumar, Kiran; Chaturvedula, Chakrapani - In: Journal of applied finance & banking 3 (2013) 1, pp. 93-107
This paper aims to study the relative information shares of spot and futures market at the individual stock level to … are co-integrated and mutually adjusting. Building on Information Share approach of Hasbrouck, the price discovery share … traders in futures segment. -- price discovery ; information shares ; stock futures …