The Key Determinants of Stock Futures Impact on Price Discovery. Evidence from Moscow Exchange

This paper discusses the price discovery process for shares listed on the Moscow Stock Exchange, using as an example quotes from spot and futures markets. The purpose of the work is to determine the influence of the main determinants of the contribution of the futures market to the price discovery process of a share listed on the Moscow Stock Exchange. Achieving this goal will allow not only to form trading strategies for market participants, but also to perform more systemically important tasks, for example, protecting the market at the time of the emergence of external disability factors (sanctions, trade wars, etc.) or identifying market manipulations. Also, since the fact that in the early 2010s, upgraded metrics for contributions to the process of incorporating new information into the effective price were proposed, the question was raised about the relevance of their statistical properties for use in further research.