Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time-varying spotfutures
linkages studied within a VECM-DCC-GARCH framework to changes in the investor structure of the futures market over time. Empirical results suggest
that during the dominance of presumably uninformed private investors, the futures market does not contribute to price discovery. By contrast, there is evidence
of information flows from futures to spot markets and a significant increase in conditional correlation between both markets as institutional investors’ share in trading volume increases. We derive implications for the design of emerging futures markets.