The effect of pit closure on futures trading
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jcomm.2017.11.002
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Aitken, Michael & Almeida, Niall & deB. Harris, Frederick H. & McInish, Thomas H., 2007. "Liquidity supply in electronic markets," Journal of Financial Markets, Elsevier, vol. 10(2), pages 144-168, May.
- Thierry Foucault & Sophie Moinas & Erik Theissen, 2007.
"Does Anonymity Matter in Electronic Limit Order Markets?,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1707-1747, 2007 28.
- Thierry, FOUCAULT & Sophie, MOINAS & Erik, THEISSEN, 2003. "Does anonymity matter in electronic limit order markets ?," HEC Research Papers Series 784, HEC Paris.
- Thierry Foucault & Sophie Moinas & Erik Theissen, 2007. "Does Anonymity Matter in Electronic Limit Order Markets?," Post-Print hal-00459795, HAL.
- Thierry Foucault & Sophie Moinas & Eric Theissen, 2007. "Does anonymity matter in electronic limit order markets ?," Post-Print halshs-00170387, HAL.
- Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2005. "Does anonymity matter in electronic limit order markets?," CFR Working Papers 05-15, University of Cologne, Centre for Financial Research (CFR).
- Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2004. "Does Anonymity Matter in Electronic Limit Order Markets?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 3, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Foucault, Thierry & Moinas, Sophie & Theissen, Erik, 2003. "Does Anonymity Matter in Electronic Limit Order Markets?," CEPR Discussion Papers 4091, C.E.P.R. Discussion Papers.
- Thierry Foucault & Sophie Moinas & Erik Theissen, 2011. "Does anonymity matter in electronic limit order markets ?," Working Papers hal-00592031, HAL.
- Bruno Biais & Fany Declerck & Sophie Moinas, 2016.
"Who supplies liquidity, how and when?,"
BIS Working Papers
563, Bank for International Settlements.
- Biais, Bruno & Declerck, Fany & Moinas, Sophie, 2017. "Who supplies liquidity, how and when?," TSE Working Papers 17-818, Toulouse School of Economics (TSE).
- Biais, Bruno & Declerck, Fany & Moinas, Sophie, 2017. "Who supplies liquidity, how and when?," IDEI Working Papers 874, Institut d'Économie Industrielle (IDEI), Toulouse.
- Wang, Jianxin, 1999. "Asymmetric information and the bid-ask spread: an empirical comparison between automated order execution and open outcry auction," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(2), pages 115-128, April.
- Orlowski, Lucjan T., 2015.
"From pit to electronic trading: Impact on price volatility of U.S. Treasury futures,"
Review of Financial Economics, Elsevier, vol. 25(C), pages 3-9.
- Lucjan T. Orlowski, 2015. "From pit to electronic trading: Impact on price volatility of U.S. Treasury futures," Review of Financial Economics, John Wiley & Sons, vol. 25(1), pages 3-9, April.
- Sait R. Ozturk & Michel van der Wel & Dick van Dijk, 2015. "Why do Pit-Hours outlive the Pit?," Tinbergen Institute Discussion Papers 15-082/III, Tinbergen Institute.
- Kumar Venkataraman, 2001. "Automated Versus Floor Trading: An Analysis of Execution Costs on the Paris and New York Exchanges," Journal of Finance, American Finance Association, vol. 56(4), pages 1445-1485, August.
- Terrence Hendershott & Charles M. Jones & Albert J. Menkveld, 2011.
"Does Algorithmic Trading Improve Liquidity?,"
Journal of Finance, American Finance Association, vol. 66(1), pages 1-33, February.
- Hendershott, Terrence & Jones, Charles M. & Menkveld, Albert J., 2008. "Does algorithmic trading improve liquidity?," CFS Working Paper Series 2008/41, Center for Financial Studies (CFS).
- Craig Pirrong, 1996. "Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(5), pages 519-543, August.
- Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, vol. 92(2), pages 153-181, May.
- Pankaj K. Jain, 2005. "Financial Market Design and the Equity Premium: Electronic versus Floor Trading," Journal of Finance, American Finance Association, vol. 60(6), pages 2955-2985, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- An N. Q. Cao & Michel A. Robe, 2022.
"Market uncertainty and sentiment around USDA announcements,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 250-275, February.
- Cao, Nguyen Que An & Robe, Michel A., 2020. "Market Uncertainty and Sentiment around USDA Announcements," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304497, Agricultural and Applied Economics Association.
- Emm, Ekaterina E. & Gay, Gerald D. & Ma, Han & Ren, Honglin, 2021. "The rise and breakup of the commodity exchange membership: An analysis of CBOT seat prices," Journal of Commodity Markets, Elsevier, vol. 24(C).
- Esen Onur & David Reiffen, 2018. "The effect of settlement rules on the incentive to Bang the Close," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 841-864, August.
- Pankaj K. Jain & Ayla Kayhan & Esen Onur, 2024. "Determinants of commodity market liquidity," The Financial Review, Eastern Finance Association, vol. 59(1), pages 9-30, February.
- Zhepeng Hu & Mindy Mallory & Teresa Serra & Philip Garcia, 2020.
"Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets,"
Agricultural Economics, International Association of Agricultural Economists, vol. 51(6), pages 825-840, November.
- Zhepeng Hu & Mindy Mallory & Teresa Serra & Philip Garcia, 2017. "Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets," Papers 1711.03506, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ben R. Marshall & Nhut H. Nguyen & Nuttawat Visaltanachoti & Tom Smith, 2016. "Transaction costs in an illiquid order-driven market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(4), pages 917-933, December.
- G. Wuyts, 2007. "Stock Market Liquidity.Determinants and Implications," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(2), pages 279-316.
- Orlowski, Lucjan T., 2015.
"From pit to electronic trading: Impact on price volatility of U.S. Treasury futures,"
Review of Financial Economics, Elsevier, vol. 25(C), pages 3-9.
- Lucjan T. Orlowski, 2015. "From pit to electronic trading: Impact on price volatility of U.S. Treasury futures," Review of Financial Economics, John Wiley & Sons, vol. 25(1), pages 3-9, April.
- Charlie X. Cai & Jeffrey H. Harris & Robert S. Hudson & Kevin Keasey, 2015. "Informed Trading and Market Structure," European Financial Management, European Financial Management Association, vol. 21(1), pages 148-177, January.
- Terrence Hendershott & Ryan Riordan, 2009. "Algorithmic Trading and Information," Working Papers 09-08, NET Institute, revised Aug 2009.
- Mousumi Bhattacharya & Sharad Nath Bhattacharya & Sumit Kumar Jha, 2022. "Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data," Australian Journal of Management, Australian School of Business, vol. 47(2), pages 251-272, May.
- Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
- Kashyap, Ravi, 2020. "David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
- Duong, Huu Nhan & Kalev, Petko S., 2014. "Anonymity and the Information Content of the Limit Order Book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 205-219.
- Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
- Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
- Moriyasu, Hiroshi & Wee, Marvin & Yu, Jing, 2018. "The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 103-128.
- Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2011.
"Sunshine trading: Flashes of trading intent at the NASDAQ,"
Working Paper
2011/17, Norges Bank.
- Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012. "Sunshine Trading: Flashes of Trading Intent at the NASDAQ," Tinbergen Institute Discussion Papers 12-141/IV/DSF47, Tinbergen Institute.
- Kobana Abukari & Isaac Otchere, 2020. "Has stock exchange demutualization improved market quality? International evidence," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 901-934, October.
- Dionne, Georges & Pacurar, Maria & Zhou, Xiaozhou, 2015.
"Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse,"
Journal of Banking & Finance, Elsevier, vol. 59(C), pages 202-219.
- Dionne, Georges & Pacurar, Maria & Zhou, Xiaozhou, 2014. "Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse," Working Papers 14-1, HEC Montreal, Canada Research Chair in Risk Management.
- Georges Dionne & Maria Pacurar & Xiaozhou Zhou, 2014. "Liquidity-adjusted Intraday Value at Risk modeling and Risk Management: an Application to Data from Deutsche Börse," Cahiers de recherche 1414, CIRPEE.
- Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010.
"Intraday Patterns in the Cross‐section of Stock Returns,"
Journal of Finance, American Finance Association, vol. 65(4), pages 1369-1407, August.
- Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Papers 1005.3535, arXiv.org.
- Christian M. Hafner & Oliver B. Linton & Linqi Wang, 2024.
"Dynamic Autoregressive Liquidity (DArLiQ),"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 774-785, April.
- Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers ISBA 2022009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers LFIN 2022002, Université catholique de Louvain, Louvain Finance (LFIN).
- Hafner, Christian M. & Linton, Oliver B. & Wang, Linqi, 2023. "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Reprints ISBA 2023027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
- Hagströmer, Björn, 2021. "Bias in the effective bid-ask spread," Journal of Financial Economics, Elsevier, vol. 142(1), pages 314-337.
- Paul Handro & Bogdan Dima, 2024. "Analyzing Financial Markets Efficiency: Insights from a Bibliometric and Content Review," Journal of Financial Studies, Institute of Financial Studies, vol. 16(9), pages 119-175, May.
More about this item
Keywords
Pit trading; Futures; Commodity markets; Liquidity;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jocoma:v:10:y:2018:i:c:p:69-90. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jcomm .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.