Rational expectations and market efficiency in the U.S. live cattle futures market: the role of proprietary information

Article Abstract:

The role of proprietary information in forecasting and market efficiency in the U.S. live cattle futures market is investigated. A test was conducted to check whether the initial estimates in the USDA Cattle on Feed Report and the Knight-Ridder pre-release forecasts are unbiased and efficient forecasts of final revised USDA Cattle on Feed Report numbers using a unique proprietary data source collected by a private firm.

United States. Department of Agriculture

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The impact of electronic trading on bid-ask spreads: evidence from futures markets in Hong Kong, London, and Sydney

Article Abstract:

New evidence of the impact of electronic trading on bid-ask spreads in futures markets is provided by examining bid-ask spreads around changes in trading systems used by three major futures exchanges. The examination suggests that the performance of electronic trading system deteriorates during periods of information arrival.

United Kingdom, ELECTRONIC & OTHER ELECTRIC EQUIPMENT, Hong Kong, Electronics industry

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Clustering in the futures market: evidence from S&P 500 futures contracts

Article Abstract:

Trade price clustering in the futures markets is documented. A high degree of clustering in the daily opening and closing prices, but a lower degree of clustering in the settlement prices is reported.

Stock prices

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