標題: Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets
作者: Chung, Huimin
Sheu, Her-Jiun
Hsu, Shufang
管理科學系
資訊管理與財務金融系 註:原資管所+財金所
Department of Management Science
Department of Information Management and Finance
關鍵字: E-mini futures;Floor-traded futures;Pricing efficiency;Noise trader risk
公開日期: 1-Oct-2010
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. (C) 2010 Elsevier Inc. All rights reserved.
URI: http://dx.doi.org/10.1016/j.iref.2010.03.007
http://hdl.handle.net/11536/14087
ISSN: 1059-0560
DOI: 10.1016/j.iref.2010.03.007
期刊: INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
Volume: 19
Issue: 4
起始頁: 742
結束頁: 754
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