Price Discovery in Spot and Derivative Equity Markets

The study considers the role of the derivative markets in the price discovery process around the release of firm-specific announcements, for ASX (Australian Stock Exchange) stocks with traded options and/or warrants. Furthermore, the project examines various factors that influence this role, such as announcement and option types. Most importantly, the current study also investigates the link between investor characteristics (specifically institutional trading activity and the geographical origin of transactions) and dynamics of the intraday price behaviour