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The existence of price discovery, market efficiency and market stability associated with spot and futures markets continues as a prominent discussion among academics, practitioners and regulators. Numerous papers examine the role of price discovery in the futures markets for various types of commodities and financial assets. Generally, the studies by Garbade and Silber (1983), Herbst, McCormack and West (1987), Kawaller, Koch and Koch (1987) and Schroeder and Goodwin (1991) indicate that price discovery occurs more significantly in the futures market compared to the cash market.


This is the peer reviewed version of the following article: Pizzi, M. A., Economopoulos, A. J. and O'Neill, H. M. (1998), An examination of the relationship between stock index cash and futures markets: A cointegration approach. J. Fut. Mark., 18: 297–305., which has been published in final form at doi: 10.1002/(SICI)1096-9934(199805)18:33.0.CO;2-3

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