Transaction Costs and Market Quality: Open Outcry Versus Electronic Trading

Article Abstract:

Lower spreads in the electronic market are found after transferred trading in futures contracts in electronic trading systems.

Statistical Data Included

---

Do designated market makers improve liquidity in open-outcry futures markets?

Article Abstract:

The introduction of the market maker has increased volume and reduced transaction costs. The results suggest that the market-making program is successful in improving liquidity.

Forecasts, trends, outlooks, Analysis, Forecasts and trends, Market trend/market analysis, Liquidity (Finance)

---

Long memory in interest rate futures markets: a fractional cointegration analysis

Article Abstract:

A study was conducted on the existence of a long-memory relationship between the Eurodollar (ED) and Treasury bill (TB) interest rate futures markets using fractional cointegration analysis. Results indicated that TB and ED may be linked through a fractionally integrated I(d)-type process such that the equilibrium errors between them show slow mean reversion. Results also revealed that the two markets are fractionally cointegrated during the post-crash period.

Interest rates, Eurocurrency market, Treasury market

Similar abstracts:

• Abstracts: Trading and hedging in S&P spot and futures markets using genetic programming. Trading volume, bid-ask spread, and price volatility in futures markets
• Abstracts: Return and volatility dynamics in the spot and futures markets in Australia: an intervention analysis in a bivariate EGARCH-X framework
• Abstracts: Research in the strategic theory of the firm: 'Isolationism' and 'integrationism'. Transition trajectories for market structure and firm strategy in China
• Abstracts: Good planning and input from home helps a practice to thrive. PwC's big plan for tax returns
• Abstracts: Volvo Car and National Geographic set sail for complex ad venture. Foote Cone vs. Mazda is latest fight over severed ties

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.