PT - JOURNAL ARTICLE AU - Athanasios P. Fassas TI - Price Discovery in a New Futures Market: Micro E-Mini Index Futures AID - 10.3905/jod.2021.1.131 DP - 2021 Aug 31 TA - The Journal of Derivatives PG - 70--94 VI - 29 IP - 1 4099 - https://pm-research.com/content/29/1/70.short 4100 - https://pm-research.com/content/29/1/70.full AB - This article revisits the role of futures contracts in price discovery, studying one of the most successful product debuts in derivatives markets, the Micro E-mini index futures. These contracts (sized at the one-tenth of their E-mini counterpart value) allow investors to gain a more affordable exposure to the S&P 500, Nasdaq 100, Dow Jones Industrial Average, and Russell 2000 indices. Using intraday data during a 3-month period, this article finds that the new smaller-sized stock index futures contracts function surprisingly well in their price discovery performance at their infancy stage, as they contribute approximately equal amounts to the information transmission process with the established E-mini index futures.TOPICS: Exchange-traded funds and applications, derivatives, futures and forward contracts, statistical methods, performance measurementKey Findings▪ The launch of Micro E-mini futures contracts on S&P 500, Nasdaq 100, Dow Jones Industrial Average, and Russell 2000 indices can be considered one of the most successful derivative products launches in years.▪ This article investigates to what extent these new contracts contribute to price discovery, that is, the process by which new information is reflected into financial asset prices through trading activity.▪ The new smaller-sized Micro E-mini futures contracts function surprisingly well in their price discovery performance at their infancy stage, as they contribute approximately equal amounts to the information transmission process with the established E-mini index futures.