메뉴 건너뛰기




Volumn 25, Issue 7, 2005, Pages 679-715

Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. equity index futures markets

Author keywords

[No Author keywords available]

Indexed keywords


EID: 20744450300     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.20160     Document Type: Article
Times cited : (57)

References (38)
  • 5
    • 0036888003 scopus 로고    scopus 로고
    • Estimating daily volatility in financial markets utilizing intraday data
    • Bollen, B., & Inder, B. (2002). Estimating daily volatility in financial markets utilizing intraday data. Journal of Empirical Finance, 9, 551-562.
    • (2002) Journal of Empirical Finance , vol.9 , pp. 551-562
    • Bollen, B.1    Inder, B.2
  • 6
    • 0033438657 scopus 로고    scopus 로고
    • Price discovery in the German equity derivative markets
    • Booth, G. G., So, R., & Tse, Y. (1999). Price discovery in the German equity derivative markets. Journal of Futures Markets, 19, 619-643.
    • (1999) Journal of Futures Markets , vol.19 , pp. 619-643
    • Booth, G.G.1    So, R.2    Tse, Y.3
  • 7
    • 20744449242 scopus 로고    scopus 로고
    • Informed trading in stock and options markets
    • Office of Economic Analysis U.S. Securities and Exchange Commission, Washington, DC
    • Chakravarty, S., Gulen, H., & Mayhew, S. (2003). Informed trading in stock and options markets. Working paper, Office of Economic Analysis U.S. Securities and Exchange Commission, Washington, DC.
    • (2003) Working Paper
    • Chakravarty, S.1    Gulen, H.2    Mayhew, S.3
  • 8
    • 0033475018 scopus 로고    scopus 로고
    • Price discovery on the S&P 500 index markets: An analysis of spot index, index futures and SPDRs
    • Chu, Q. C., Hsieh, W. G., & Tse, Y. (1999). Price discovery on the S&P 500 index markets: An analysis of spot index, index futures and SPDRs. International Review of Financial Analysis, 8, 21-34.
    • (1999) International Review of Financial Analysis , vol.8 , pp. 21-34
    • Chu, Q.C.1    Hsieh, W.G.2    Tse, Y.3
  • 9
    • 4444274171 scopus 로고    scopus 로고
    • The contribution of a satellite market to price discovery: Evidence from the Singapore exchange
    • Covrig, V., Ding, D. K., & Low, B. S. (2004). The contribution of a satellite market to price discovery: Evidence from the Singapore exchange. Journal of Futures Markets, 24, 981-1004.
    • (2004) Journal of Futures Markets , vol.24 , pp. 981-1004
    • Covrig, V.1    Ding, D.K.2    Low, B.S.3
  • 10
    • 0036112241 scopus 로고    scopus 로고
    • Measures of contributions to price discovery: A comparison
    • De Jong, F. (2002). Measures of contributions to price discovery: A comparison. Journal of Financial Markets, 5, 323-327.
    • (2002) Journal of Financial Markets , vol.5 , pp. 323-327
    • De Jong, F.1
  • 11
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimation, and testing
    • Engle, R. F., & Granger, C. W. J. (1987). Cointegration and error correction: Representation, estimation, and testing. Econometrica, 55, 251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 12
    • 0030544148 scopus 로고    scopus 로고
    • Trading costs and the relative rate of price discovery in stock, futures, and option markets
    • Fleming, J., Ostdiek, B., & Whaley, R. E. (1996). Trading costs and the relative rate of price discovery in stock, futures, and option markets. The Journal of Futures Markets, 16, 353-387.
    • (1996) The Journal of Futures Markets , vol.16 , pp. 353-387
    • Fleming, J.1    Ostdiek, B.2    Whaley, R.E.3
  • 13
    • 0043187700 scopus 로고    scopus 로고
    • Information diffusion in electronic and floor trading
    • Franke, G., & Hess, D. (2000). Information diffusion in electronic and floor trading. Journal of Empirical Finance, 7, 455-478.
    • (2000) Journal of Empirical Finance , vol.7 , pp. 455-478
    • Franke, G.1    Hess, D.2
  • 15
    • 0002561121 scopus 로고
    • Electronic screen trading and the transmission of information: An empirical examination
    • Grunbichler, A., Longstaff, F. A., & Schwartze, E. (1994). Electronic screen trading and the transmission of information: An empirical examination. Journal of Financial Intermediation, 3, 166-187.
    • (1994) Journal of Financial Intermediation , vol.3 , pp. 166-187
    • Grunbichler, A.1    Longstaff, F.A.2    Schwartze, E.3
  • 16
    • 0036099304 scopus 로고    scopus 로고
    • Security price adjustment across exchanges: An investigation of common factor components of Dow stocks
    • Harris, F., McInish, T., & Wood, R. (2002). Security price adjustment across exchanges: An investigation of common factor components of Dow stocks. Journal of Financial Markets, 5, 277-308.
    • (2002) Journal of Financial Markets , vol.5 , pp. 277-308
    • Harris, F.1    McInish, T.2    Wood, R.3
  • 17
    • 84993849369 scopus 로고
    • One security, many markets: Determining the contributions to price discovery
    • Hasbrouck, J. (1995). One security, many markets: Determining the contributions to price discovery. Journal of Finance, 50, 1175-1199.
    • (1995) Journal of Finance , vol.50 , pp. 1175-1199
    • Hasbrouck, J.1
  • 18
    • 0345016441 scopus 로고    scopus 로고
    • Intraday price formation in US equity index markets
    • Hasbrouck, J. (2003). Intraday price formation in US equity index markets. Journal of Finance, 58, 2375-2400.
    • (2003) Journal of Finance , vol.58 , pp. 2375-2400
    • Hasbrouck, J.1
  • 19
    • 0030526787 scopus 로고    scopus 로고
    • Intraday return dynamics between the cash and the futures markets in Japan
    • Iihara, Y., Kato, K., & Tokunaga, T. (1996). Intraday return dynamics between the cash and the futures markets in Japan. The Journal of Futures Markets, 16, 147-162.
    • (1996) The Journal of Futures Markets , vol.16 , pp. 147-162
    • Iihara, Y.1    Kato, K.2    Tokunaga, T.3
  • 20
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing for cointegrating vectors in gaussian vector autoregressive models
    • Johansen, S. (1991). Estimation and hypothesis testing for cointegrating vectors in gaussian vector autoregressive models. Econometrica, 59, 1551-1580.
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 21
    • 0001085345 scopus 로고    scopus 로고
    • Spreads, information flows and transparency across trading systems
    • Kofman, P., & Moser, J. T. (1997). Spreads, information flows and transparency across trading systems. Applied Financial Economics, 7, 281-294.
    • (1997) Applied Financial Economics , vol.7 , pp. 281-294
    • Kofman, P.1    Moser, J.T.2
  • 22
    • 20744442953 scopus 로고    scopus 로고
    • Price discovery in the E-mini futures markets: Is the tail wagging the dog?
    • (October). Paper presented at San Antonio, TX
    • Kurov, A., & Lasser, D. (2002, October). Price discovery in the E-mini Futures Markets: Is the tail wagging the dog? Paper presented at Financial Management Annual Meeting, San Antonio, TX.
    • (2002) Financial Management Annual Meeting
    • Kurov, A.1    Lasser, D.2
  • 23
    • 84977730741 scopus 로고
    • Inferring trade directions from intraday data
    • Lee, C. M. C., & Ready, M. J. (1991). Inferring trade directions from intraday data. Journal of Finance, 46, 733-746.
    • (1991) Journal of Finance , vol.46 , pp. 733-746
    • Lee, C.M.C.1    Ready, M.J.2
  • 25
    • 0032324633 scopus 로고    scopus 로고
    • Price discovery in high and low volatility periods: Open outcry versus electronic trading
    • Martens, M. (1998). Price discovery in high and low volatility periods: Open outcry versus electronic trading. Journal of International, Financial Markets, Institutions and Money, 8, 243-260.
    • (1998) Journal of International, Financial Markets, Institutions and Money , vol.8 , pp. 243-260
    • Martens, M.1
  • 26
    • 0002421866 scopus 로고
    • Electronic trading, market structure and liquidity
    • Massimb, M. N., & Phelps, B. D. (1994). Electronic trading, market structure and liquidity. Financial Analysts Journal, 50(1), 39-50.
    • (1994) Financial Analysts Journal , vol.50 , Issue.1 , pp. 39-50
    • Massimb, M.N.1    Phelps, B.D.2
  • 27
    • 0039651217 scopus 로고
    • International competitiveness of U.S. futures exchanges
    • Miller, M. H. (1990). International competitiveness of U.S. futures exchanges. Journal of Financial Services Research, 4, 387-408.
    • (1990) Journal of Financial Services Research , vol.4 , pp. 387-408
    • Miller, M.H.1
  • 28
    • 0000706085 scopus 로고
    • A simple positive semi-definite heteroskedasiticity and autocorrelation consistent covariance matrix
    • Newey, W. K., & West, K. D. (1987). A simple positive semi-definite heteroskedasiticity and autocorrelation consistent covariance matrix. Econometrica, 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 29
    • 0030487259 scopus 로고    scopus 로고
    • Market liquidity and dept on computerized and open-outcry trading systems: A comparison of DTB and LIFFE Bund contracts
    • Pirrong, C. (1996). Market liquidity and dept on computerized and open-outcry trading systems: A comparison of DTB and LIFFE Bund contracts. Journal of Futures Markets, 16, 519-543.
    • (1996) Journal of Futures Markets , vol.16 , pp. 519-543
    • Pirrong, C.1
  • 30
    • 21844486079 scopus 로고
    • Price transmission and information asymmetry in Bund futures markets: LIFFE vs. DTB
    • Shyy, G., & Lee, J. H. (1995). Price transmission and information asymmetry in Bund futures markets: LIFFE vs. DTB. The Journal of Futures Markets, 15, 87-99.
    • (1995) The Journal of Futures Markets , vol.15 , pp. 87-99
    • Shyy, G.1    Lee, J.H.2
  • 31
    • 0030552959 scopus 로고    scopus 로고
    • A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France
    • Shyy, G., Vijayraghavan, V., & Scott-Quinn, B. (1996). A further investigation of the lead-lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France. The Journal of Futures Markets, 16, 405-420.
    • (1996) The Journal of Futures Markets , vol.16 , pp. 405-420
    • Shyy, G.1    Vijayraghavan, V.2    Scott-Quinn, B.3
  • 32
    • 84978553496 scopus 로고
    • Estimating the effective bid-ask spread from time and sales data
    • Smith, T., & Whaley, R. E. (1994). Estimating the effective bid-ask spread from time and sales data. The Journal of Futures Markets, 14, 437-455.
    • (1994) The Journal of Futures Markets , vol.14 , pp. 437-455
    • Smith, T.1    Whaley, R.E.2
  • 35
    • 0036841006 scopus 로고    scopus 로고
    • Price discovery in floor and screen trading systems
    • Theissen, E. (2002). Price discovery in floor and screen trading systems. Journal of Empirical Finance, 9, 455-474.
    • (2002) Journal of Empirical Finance , vol.9 , pp. 455-474
    • Theissen, E.1
  • 36
    • 1842815717 scopus 로고    scopus 로고
    • Do designated market makers improve liquidity in open-outcry futures markets?
    • Tse, T., & Zabotina, T. (2004). Do designated market makers improve liquidity in open-outcry futures markets? The Journal of Futures Markets, 24, 479-502.
    • (2004) The Journal of Futures Markets , vol.24 , pp. 479-502
    • Tse, T.1    Zabotina, T.2
  • 37
    • 84978598046 scopus 로고
    • An intraday analysis of bid-ask spreads and price volatility in the S&P 500 index futures market
    • Wang, G. H. K., Michalski, R. J., Jordan, J. V., & Moriarty E. J. (1994). An intraday analysis of bid-ask spreads and price volatility in the S&P 500 index futures market. Journal of Futures Markets, 14, 837-859.
    • (1994) Journal of Futures Markets , vol.14 , pp. 837-859
    • Wang, G.H.K.1    Michalski, R.J.2    Jordan, J.V.3    Moriarty, E.J.4
  • 38
    • 21344479451 scopus 로고
    • The effect of market opening and closing on volatility of eurodollar futures prices
    • Webb, R. I., & Smith, D. G. (1994). The effect of market opening and closing on volatility of eurodollar futures prices. Journal of Futures Markets, 14, 51-78.
    • (1994) Journal of Futures Markets , vol.14 , pp. 51-78
    • Webb, R.I.1    Smith, D.G.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.