“…Tse (1999) employs minute-by-minute data for the Dow Jones Industrial Index and its futures to investigate the price discovery process and finds that a futures market does better for the price discovery process. This finding confirms previous evidence on the leadership of the futures market (for example, Ng (1987), Herbst et al (1987), Kawaller et al (1987), andChan (1992)). Ghosh (1993), employing a cointegration method, finds the leadership of a futures market in fifteen-minute prices, which is later confirmed by Wahab and Lashgari (1993), Dwyer et al (1996), and Martens et al (1982).…”