Open outcry

World Wide Web

Engineering

Spot contract

Transaction cost

Microeconomics

Chromatography

Forward market

Alternative trading system

Algorithmic trading

Futures contract

Spot market

Derivatives market

Economics

Futures market

Computer science

Business

Price discovery

Database

Index (typography)

Monetary economics

Normal backwardation

Econometrics

Financial economics

Chemistry

Database transaction

Sample (material)

Electricity

Electrical engineering

Journal of Futures Markets

This paper studies the contribution of newly launched SSE 50 Index‐based options and futures to price discovery. We find that the derivatives markets quickly begin exhibiting price leadership over the corresponding spot market, despite their short history; the information share from both derivatives markets rose from 59.84% in mid‐2015 to 84.6% in mid‐2017. Using substantial regulation changes during the sample period, we test the trading cost hypothesis. The increases in derivatives transaction costs do not immediately impede their roles in price discovery. Findings suggest that in nascent and immature markets, investors’ trading experience matters more than trading costs.

Price discovery among SSE 50 Index‐based spot, futures, and options markets