Price clustering in E-mini and floor-traded index futures

Hui-Min Chung, Shumei Chiang*

*Corresponding author for this work

Research output: Contribution to journalReview articlepeer-review

29 Scopus citations

Abstract

This article sets out to investigate price clustering in both the open-outcry (floor-traded) and electronically traded (E-mini) index futures markets of the DJIA, S&P 500, and NASDAQ-100 indices. The results show that although price clustering is ubiquitous in both the floor-traded and E-mini index futures markets, it nevertheless tends to be higher for open-outcry index futures, with the clustering in floor-traded NASDAQ-100 index futures demonstrating the highest level (97%) at zero digits. A significant increase was also found in price clustering in floor-traded index futures after the introduction of E-mini futures trading. The results tend to suggest that those trading mechanisms that involve higher levels of human participation, such as the open-outcry markets, may well lead to increased incidences of price clustering.

Original languageEnglish
Pages (from-to)269-295
Number of pages27
JournalJournal of Futures Markets
Volume26
Issue number3
DOIs
StatePublished - 1 Mar 2006

Fingerprint

Dive into the research topics of 'Price clustering in E-mini and floor-traded index futures'. Together they form a unique fingerprint.

Cite this