Transaction Costs and Market Quality: Open Outcry Versus Electronic Trading
Article Abstract:
Lower spreads in the electronic market are found after transferred trading in futures contracts in electronic trading systems.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
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Do designated market makers improve liquidity in open-outcry futures markets?
Article Abstract:
The introduction of the market maker has increased volume and reduced transaction costs. The results suggest that the market-making program is successful in improving liquidity.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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Long memory in interest rate futures markets: a fractional cointegration analysis
Article Abstract:
A study was conducted on the existence of a long-memory relationship between the Eurodollar (ED) and Treasury bill (TB) interest rate futures markets using fractional cointegration analysis. Results indicated that TB and ED may be linked through a fractionally integrated I(d)-type process such that the equilibrium errors between them show slow mean reversion. Results also revealed that the two markets are fractionally cointegrated during the post-crash period.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1995
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