Trading volume and transaction costs in futures markets

Citations

Cited by:

1. Henry Bryant & Michael Haigh, 2004. "Bid-ask spreads in commodity futures markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(13), pages 923-936.
2. Chiang, Mi-Hsiu & Chiu, Hsin-Yu & Kuo, Wei-Yu, 2021. "Predictive ability of similarity-based futures trading strategies," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
3. Li, Miao & Xiong, Tao, 2023. "Is China's new live hog futures market efficient? Evidence from an analysis of market quality, price discovery and hedging effectiveness," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 68(01), September.
4. Park, Cheol-Ho & Irwin, Scott H., 2004. "The Profitability Of Technical Trading Rules In Us Futures Markets: A Data Snooping Free Test," 2004 Conference, April 19-20, 2004, St. Louis, Missouri 19011, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
   • Park, Cheol-Ho & Irwin, Scott H., 2005. "The Profitability of Technical Trading Rules in US Futures Markets: A Data Snooping Free Test," AgMAS Project Research Reports 14771, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
5. Ms. Thornton Matheson, 2011. "Taxing Financial Transactions: Issues and Evidence," IMF Working Papers 2011/054, International Monetary Fund.
6. Julieta Frank & Philip Garcia, 2011. "Measuring the cost of liquidity in agricultural futures markets: Conventional and Bayesian approaches," Agricultural Economics, International Association of Agricultural Economists, vol. 42, pages 131-140, November.
   • Frank, Julieta & Garcia, Philip, 2006. "Estimating Liquidity Costs in Agricultural Futures Markets using Bayesian Methods," 2006 Annual meeting, July 23-26, Long Beach, CA 21331, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
   • Frank, Julieta & Garcia, Philip, 2007. "Measuring Liquidity Costs in Agricultural Futures Markets," 2007 Conference, April 16-17, 2007, Chicago, Illinois 37572, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
7. Stefan Haigner & Friedrich Schneider & Florian Wakolbinger, 2012. "Combating Money Laundering and the Financing of Terrorism: A Survey," Economics of Security Working Paper Series 65, DIW Berlin, German Institute for Economic Research.
8. Carlos Contreras & Mónica Contreras, 2015. "Estimación de la recaudación del Impuesto sobre Transacciones Financieras: el caso español," Hacienda Pública Española / Review of Public Economics, IEF, vol. 213(2), pages 109-143, June.
9. Thornton Matheson, 2012. "Security transaction taxes: issues and evidence," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 19(6), pages 884-912, December.
10. Scott Mixon, 2022. "US experience with futures transaction taxes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 413-427, March.
11. Bouchra Benzennou & Owain ap Gwilym & Gwion Williams, 2018. "Are single stock futures used as an alternative during a short‐selling ban?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 66-82, January.
12. Valeria Martinez & Paramita Gupta & Yiuman Tse & Jullavut Kittiakarasakun, 2011. "Electronic versus open outcry trading in agricultural commodities futures markets," Review of Financial Economics, John Wiley & Sons, vol. 20(1), pages 28-36, January.
13. Lorne N. Switzer & Haibo Fan, 2010. "Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 11-35, April.
14. Copenhagen Economics, 2011. "Elasticities of Financial Instruments, Profits and Remuneration," Taxation Papers 30, Directorate General Taxation and Customs Union, European Commission.
15. Martinez, Valeria & Tse, Yiuman, 2019. "The impact of tick-size reductions in foreign currency futures markets," Finance Research Letters, Elsevier, vol. 28(C), pages 32-38.
16. Jin, Xiaoye, 2022. "Performance of intraday technical trading in China’s gold market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
17. Alex Frino & Ognjen Kovačević & Vito Mollica, 2019. "Depths and spreads in futures markets: Relationship with order execution, submission, and cancellation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(5), pages 590-599, May.
18. Shimeng Shi, 2022. "Bitcoin futures risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2190-2217, December.
19. Lillo, Felipe & Valdés, Rodrigo, 2016. "Dynamics of financial markets and transaction costs: A graph-based study," Research in International Business and Finance, Elsevier, vol. 38(C), pages 455-465.
20. Robert Pollin & Dean Baker & Marc Schaberg, 2003. "Securities Transaction Taxes for U.S. Financial Markets," Eastern Economic Journal, Eastern Economic Association, vol. 29(4), pages 527-558, Fall.
    • Marc Schaberg & Dean Baker & Robert Pollin, 2002. "Securities Transaction Taxes for U.S. Financial Markets," Working Papers wp20, Political Economy Research Institute, University of Massachusetts at Amherst.
21. Jürgen Antony & Michiel Bijlsma & Adam Elbourne & Marcel Lever & Gijsbert Zwart, 2012. "Financial transaction tax: review and assessment," CPB Discussion Paper 202, CPB Netherlands Bureau for Economic Policy Analysis.
22. Yiuman Tse & Paramita Bandyopadhyay, 2006. "Multi-market trading in the Eurodollar futures market," Review of Quantitative Finance and Accounting, Springer, vol. 26(3), pages 321-341, May.
23. Zhou, Liyun & Zhang, Rixin & Huang, Jialiang, 2019. "Investor trading behavior on agricultural future prices," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 365-379.
24. Miao Li & Tao Xiong & Ziran Li, 2023. "A tale of two contracts: Examining the behavior of bid–ask spreads of corn futures in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 792-806, June.
25. Bryant, Henry L. & Haigh, Michael S., 2002. "Bid-Ask Spreads In Commodity Futures Markets," Working Papers 28587, University of Maryland, Department of Agricultural and Resource Economics.
26. Shah, Samarth & Brorsen, B. Wade & Anderson, Kim B., 2009. "Liquidity Costs in Futures Options Markets," 2009 Conference, April 20-21, 2009, St. Louis, Missouri 53047, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
27. Karan Bhanot & Valeria Martinez & Zi Ning & Yiuman Tse, 2008. "Competition for Order Flow and Market Quality in the Gold and Silver Futures Markets," Working Papers 0036, College of Business, University of Texas at San Antonio.
28. 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.
29. Alex Frino & Dionigi Gerace & Masud Behnia, 2021. "The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1301-1314, August.
30. Jürgen Antony & Michiel Bijlsma & Adam Elbourne & Marcel Lever & Gijsbert Zwart, 2012. "Financial transaction tax: review and assessment," CPB Discussion Paper 202.rdf, CPB Netherlands Bureau for Economic Policy Analysis.