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Spreads, information flows and transparency across trading systems

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  • Paul Kofman
  • James T. Moser

Abstract

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Suggested Citation

  • Paul Kofman & James T. Moser, 1995. "Spreads, information flows and transparency across trading systems," Working Paper Series, Issues in Financial Regulation 95-1, Federal Reserve Bank of Chicago.
    • Handle: RePEc:fip:fedhfi:95-1
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    Cited by:

    1. FOUCAULT, Thierry & LESCOURRET, Laurence, 2001. "Information sharing, liquidity and transaction costs in floor-based trading systems," HEC Research Papers Series 742, HEC Paris.
    2. Patricia Chelley‐Steeley, 2005. "Noise and the Trading Mechanism: the Case of SETS," European Financial Management, European Financial Management Association, vol. 11(3), pages 387-424, June.
    3. Theissen, Erik, 2002. "Price discovery in floor and screen trading systems," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 455-474, November.
    4. Chan, Howard Wei-Hong & Pinder, Sean M., 2000. "The value of liquidity: Evidence from the derivatives market," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 483-503, July.
    5. Philip Hans Franses & Reinoud leperen & Paul Kofman & Martin Martens & Bert Menkveld, 1997. "Volatility Transmission And Patterns In Bund Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(4), pages 459-482, December.
    6. Pinder, Sean, 2003. "An empirical examination of the impact of market microstructure changes on the determinants of option bid-ask spreads," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 563-577.
    7. Angel Pardo & Roberto Pascual, 2012. "On the hidden side of liquidity," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 949-967, November.
    8. Asani Sarkar & Michelle Tozzi, 1998. "Electronic trading on futures exchanges," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 4(Jan).
    9. Carlos A. Ulibarri & John Schatzberg, 2003. "Liquidity costs: Screen‐based trading versus open outcry," Review of Financial Economics, John Wiley & Sons, vol. 12(4), pages 381-396.
    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. 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.
    12. Chung, Huimin & Sheu, Her-Jiun & Hsu, Shufang, 2010. "Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 742-754, October.
    13. Ulibarri, Carlos A. & Schatzberg, John, 2003. "Liquidity costs: Screen-based trading versus open outcry," Review of Financial Economics, Elsevier, vol. 12(4), pages 381-396.
    14. Martens, Martin, 1998. "Price discovery in high and low volatility periods: open outcry versus electronic trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 243-260, December.
    15. Kappi, Jari & Siivonen, Risto, 2000. "Market liquidity and depth on two different electronic trading systems: A comparison of Bund futures trading on the APT and DTB," Journal of Financial Markets, Elsevier, vol. 3(4), pages 389-402, November.
    16. Brailsford, Timothy J. & Frino, Alex & Hodgson, Allan & West, Andrew, 1999. "Stock market automation and the transmission of information between spot and futures markets," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 247-264, November.
    17. Coppejans, Mark & Domowitz, Ian, 1999. "Pricing behavior in an off-hours computerized market," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 583-607, December.
    18. Francis Breedon & Allison Holland, 1998. "Electronic versus open outcry markets: The case of the Bund futures contract," Bank of England working papers 76, Bank of England.
    19. John Board & Charles Sutcliffe & Stephen Wells, 2002. "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3, December.
    20. Theissen, Erik, 2003. "Organized equity markets in Germany," CFS Working Paper Series 2003/17, Center for Financial Studies (CFS).

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    Keywords

    Futures; International finance;

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