View by Day
13:00 | Room 402 | Brown Bag Seminar | ONLINE
Gregory Boadu-Sebbe: "Price Discovery Among Multiple Assets: The Case of Exchanged-Traded Funds."
Presenter: Gregory Boadu-Sebbe (
Abstract:
In this paper, I moved beyond the traditional way of studying price discovery between two related assets or exchanges to examine price discovery among multiple assets or exchanges at the same time. Specifically, I focused on studying price discovery among 15 most traded EFTs tracking S&P500 index in both event and calendar times. In event time, I used a VAR model with ten constructive measures based on concepts of depth, resilience, tightness, and trading time. These measures are further classified into limit orders, market orders, speed of transaction, and spread. In calendar time, I developed a new approach called High-Frequency Information Share (HFIS) to measure price discovery among the ETFs within and across four U.S. exchnanges. Empirical results in event time show that price discovery occur in almost every pair of two ETFs among the 15 ETFs, simultaneously. The price discovery among the ETFs mostly happen through trade. The total contribution to price discovery among the 15 ETFs ranges from 39.5% to 67.1%. I find that the main contributing factors to price discovery among the ETFs are limit orders, speed of transaction, and spread measures. In calendar time, a change in time difference across four major U.S. exchanges contributes new information to price formation among the ETFs, mainly through limit orders, speed of transaction and spreads. The HFIS percentage contribution by the exchanges to price discovery among the ETFs ranges from 0.03% to 41.55%. Overall, my findings from both event and calendar times suggest that ETF traders are likely to place limit orders taking into account speed of transaction and trading cost (spreads).
You can also join the seminar online:
Meeting link: https://cerge-ei.webex.com/cerge-ei/j.php?MTID=ma46398e56b204c5e9d3d93d87d486767
Meeting number: 2741 836 4994
Meeting password: 6243