Sample dataset for replication of results in the paper “When do stock futures dominate price discovery?”. The dataset contains spot and futures prices of RELIANCE (traded on NSE, India) for a day of data used in the study. The prices are at one second frequency for 6 May, 2009.
The first column represents the date and time while the second and the third column represent the stock price on the spot and the futures market respectively.
data.frame (20094 x 3)
Aggarwal N, Thomas S (2013), When do stock futures dominate price discovery, IGIDR WP-2011-016. http://www.igidr.ac.in/pdf/publication/WP-2011-016.pdf
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