Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets

Hui-Min Chung, Her Jiun Sheu, Shufang Hsu*

*此作品的通信作者

研究成果: Article同行評審

5 引文 斯高帕斯(Scopus)

摘要

This study examines the pricing efficiency of E-mini and floor-traded index futures under electronic versus open-outcry trading platforms. By using OLS and quantile regressions to control for changes in market characteristics, we find that pricing errors are smaller in the E-mini markets than the floor-traded markets, thereby confirming that electronic trading has special attractions for arbitrageurs and informed traders. However, during periods of higher volatility, the advantages of speedier execution, anonymity and information efficiency may be offset by arbitrage risks; as a result, larger pricing errors are observed in the E-mini markets. We provide new evidence confirming the important roles in pricing efficiency played by both traditional open-outcry systems and electronic trading systems.

原文English
頁(從 - 到)742-754
頁數13
期刊International Review of Economics and Finance
19
發行號4
DOIs
出版狀態Published - 1 十月 2010

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