Trading mechanisms and trading preferences on a 24-hour futures market: A case study of the Floor/GLOBEX switch on MATIF

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/29551

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/29551

Title:	Trading mechanisms and trading preferences on a 24-hour futures market: A case study of the Floor/GLOBEX switch on MATIF
Authors:	Chow,EH;Lee,JH;Shyy,G
Contributors:	財務金融所
Keywords:	BID-ASK SPREAD;STOCK-MARKET;SECURITIES MARKETS;RETURN VOLATILITY;VOLUME;INFORMATION;MICROSTRUCTURE;COMPONENTS;BEHAVIOR;TRADES
Date:	1996
Issue Date:	2010-06-29 20:30:48 (UTC+8)
Publisher:	中央大學
Abstract:	MATIF is the only major exchange offering a 24-hour non-interrupted trading cycle accommodating two distinct non-overlapping trading mechanisms, We find that trading volume on the floor is significantly higher than that on GLOBEX around the switch of trading mechanism, GLOBEX is mainly used by institutions to hedge their cash positions. The higher trading volume on the floor may be attributed to several factors: trade immediacy vs, transaction cost, liquidity trading by locals, inertia to trade under a new mechanism, and transparency vs. anonymity. In addition, the floor's open is unique with large interday return volatility.
Relation:	JOURNAL OF BANKING & FINANCE
Appears in Collections:	[Graduate Institute of Finance] journal & Dissertation

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