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

Hui-Min Chung, Shumei Chiang*

*此作品的通信作者

研究成果: Review article同行評審

29 引文 斯高帕斯(Scopus)

摘要

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.

原文English
頁(從 - 到)269-295
頁數27
期刊Journal of Futures Markets
26
發行號3
DOIs
出版狀態Published - 1 3月 2006

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