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So, R.W. and Tse, Y. (2004) Price Discovery in the Hang Seng Index Markets: Index, Futures, and the Tracker Fund. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 24, 887-907.
https://doi.org/10.1002/fut.20112

has been cited by the following article:

• TITLE: Efficiency of Currency Derivatives in Price Discovery Process: Evidences from India

  AUTHORS: Prashant Sharma, Varun Chotia

  KEYWORDS: Price Discovery, Short Run Causality, Long Run Causality, Vector Error Correction Model (VECM)

  JOURNAL NAME: Theoretical Economics Letters, Vol.9 No.5, June 27, 2019

  ABSTRACT: The present study investigates the efficiency of currency derivatives market by assessing its contribution towards price discovery process using spot and future prices of four currencies (USD/INR, EURO/INR, GBP/INR and JPY/INR) traded on the National Stock Exchange (NSE), India. As per the investigation, it can be concluded that there is a long run equilibrium relationship between spot rates and future rates, with unidirectional causality running from future rates to spot rates for all currencies under consideration. As the futures markets contribute more to the price discovery, this implies that more investors are attracted to it. This in turn leads to more rational price discovery.