Intraday Price Discovery in Emerging Equity Market: Analysis of SET50 Index, SET 50 Index Futures and THAIDEX SET50 (TDEX)

Chiraphol New CHIYACHANTANA, Singapore Management University
Julaluck Choochuay, Chulalongkorn University
Tanakorn Likitapiwat, Chulalongkorn University


This study employs Vector Error Correction Model (VECM), information share and conditional information share methods to investigate price discovery in SET50 Index (cash index), SET50 Index Futures (futures index) and ThaiDex SET50 (exchange traded fund). Our findings indicate that there exists a long run relationship among three markets and a multi-market trading of derivatives markets and its underlying asset helps improve price efficiency. With respect to the degree of price formation process, SET50 Index Futures contributes most in price discovery process, followed by SET50 Index and ThaiDex SET50.