Which Markets are the Hardest to Move?

Jim Surowiecki this week looks at what he calls "ancillary markets" — things like futures, the VIX, or credit-default swaps — and the effect they have on the stock market:

Even if these ancillary markets aren’t being gamed, the attention paid to them is out of all proportion to their informational worth. Because they are small relative to the elephantine U.S. stock and bond markets, it doesn’t take a lot of money to move them significantly, and since they have low margin requirements, speculators can have a big impact on prices while putting up only a little cash. Credit-default-swap contracts, similarly, are generally not that expensive, so fairly small investments can move prices noticeably. When U.S. stock-market investors take their cues from these other markets, the tail is wagging the elephant.

I think this is probably true, but I’d love to see some hard facts on this. Is there any quantitative data about how much money it takes to move different markets an equivalent amount? How much money would it take to send a CDS spread gapping out, and how much money would it take to that stock’s price up or down? And how big is the difference between those two numbers? Has anybody done any research on this?

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