Download or read book Electronic Screen Trading and the Transmission of Information written by Andreas Grünbichler and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the lead-lag relation between intraday spot and futures prices for stock index where the component stocks are floor traded while the futures contract is screen traded. We find that futures prices lead spot prices by nearly 20 minutes. This is much longer than in markets where both the index and index futures are floor traded. We show that this lead-lag relation is unlikely to be an artifact of differences in liquidity between spot and future markets. These results are consistent with the hypothesis that screen trading accelerates the price discovery process.