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Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets

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  • Luke Bortoli
  • Alex Frino
  • Elvis Jarnecic

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  • Luke Bortoli & Alex Frino & Elvis Jarnecic, 2004. "Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(1), pages 73-87, August.
    • Handle: RePEc:kap:jfsres:v:26:y:2004:i:1:p:73-87
    DOI: 10.1023/B:FINA.0000029658.53325.c8
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    References listed on IDEAS

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    1. McInish, Thomas H & Wood, Robert A, 1992. "An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-764, June.
    2. Michael J. Aitken & Alex Frino & Amelia M. Hill & Elvis Jarnecic, 2004. "The impact of electronic trading on bid‐ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(7), pages 675-696, July.
    3. Edmister, Robert O, 1978. "Commission Cost Structure: Shifts and Scale Economies," Journal of Finance, American Finance Association, vol. 33(2), pages 477-486, May.
    4. Blum, Gerald A. & Lewellen, Wilbur G., 1983. "Negotiated Brokerage Commissions and the Individual Investor," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(3), pages 331-343, September.
    5. Richard R. West & Seha M. Tinic, 1971. "Minimum Commission Rates on New York Stock Exchange Transactions," Bell Journal of Economics, The RAND Corporation, vol. 2(2), pages 577-605, Autumn.
    6. Seha M. Tinic & Richard R. West, 1980. "The Securities Industry under Negotiated Brokerage Commissions: Changes in the Structure and Performance of New York Stock Exchange Member Firms," Bell Journal of Economics, The RAND Corporation, vol. 11(1), pages 29-41, Spring.
    7. Robert Battalio & Robert Jennings & Jamie Selway, 2001. "The Relationship Among Market-Making Revenue, Payment for Order Flow, and Trading Costs for Market Orders," Journal of Financial Services Research, Springer;Western Finance Association, vol. 19(1), pages 39-56, February.
    8. Brennan, Michael J & Chordia, Tarun, 1993. "Brokerage Commission Schedules," Journal of Finance, American Finance Association, vol. 48(4), pages 1379-1402, September.
    9. Edmister, Robert O & Subramanian, N, 1982. "Determinants of Brokerage Commission Rates for Institutional Investors: A Note," Journal of Finance, American Finance Association, vol. 37(4), pages 1087-1093, September.
    10. Frino, Alex & McInish, Thomas H. & Toner, Martin, 1998. "The liquidity of automated exchanges: new evidence from German Bund futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 225-241, December.
    11. Jennifer S. Conrad & Kevin M. Johnson & Sunil Wahal, 2001. "Institutional Trading and Soft Dollars," Journal of Finance, American Finance Association, vol. 56(1), pages 397-416, February.
    12. Tinic, Seha M. & West, Richard R., 1972. "Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(3), pages 1707-1727, June.
    13. Blennerhassett, Michael & Bowman, Robert G., 1998. "A change in market microstructure: the switch to electronic screen trading on the New Zealand stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 261-276, December.
    14. 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.
    15. David M. Modest & Mahadevan Sundaresan, 1983. "The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(1), pages 15-41, March.
    16. Peter R. Locke & P. C. Venkatesh, 1997. "Futures market transaction costs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(2), pages 229-245, April.
    17. Aharon R. Ofer & Arie Melnick, 1978. "Price Deregulation in the Brokerage Industry: An Empirical Analysis," Bell Journal of Economics, The RAND Corporation, vol. 9(2), pages 633-641, Autumn.
    18. Kian‐Guan Lim, 1992. "Arbitrage and price behavior of the Nikkei stock index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(2), pages 151-161, April.
    19. Yiuman Tse & Tatyana V. Zabotina, 2001. "Transaction Costs and Market Quality: Open Outcry Versus Electronic Trading," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(8), pages 713-735, August.
    20. George H. K. Wang & Jot Yau & Tony Baptiste, 1997. "Trading volume and transaction costs in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(7), pages 757-780, October.
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    Cited by:

    1. Carè, Rosella & Cumming, Douglas, 2024. "Technology and automation in financial trading: A bibliometric review," Research in International Business and Finance, Elsevier, vol. 71(C).
    2. Karen Kunz & Jena Martin, 2015. "Into the Breech: The Increasing Gap between Algorithmic Trading and Securities Regulation," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(1), pages 135-152, February.

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