Authors: Athanasios Fassas

Title: Price Discovery in a new futures market: Micro E-Mini index futures

Abstract

This paper revisits the role of futures contracts in price discovery, studying one of the most successful product debuts in derivatives markets, the Micro E-Mini index futures. These contracts (sized at the one tenth of their E-Mini counterpart value) allow investors to gain a more affordable exposure to the S&P 500, Nasdaq 100, Dow Jones Industrial Average and Russell 2000 indices. Using intraday data during a three-month period, we find that the new smaller-sized stock index futures contracts function surprisingly well in their price discovery performance at their infancy stage, as they contribute approximately equal amounts to the information transmission process with the established E-Mini index futures.