IDEAS home Printed from https://ideas.repec.org/p/ags/ncrfou/19014.html
   My bibliography  Save this paper

Perceptions Of Futures Market Liquidity: An Empirical Study Of Cbot & Cme Traders

Author

Listed:
  • Marsh, Julia W.
  • Pennings, Joost M.E.
  • Garcia, Philip

Abstract

Traders' perceptions drive their market behavior, and can influence the dynamics of liquidity. This study surveyed 420 traders on their perceptions of the price path during an order imbalance to better understand the dynamics of liquidity. While most liquidity models assume a linear price path, only 12% of traders perceive such a path. This raises questions on the validity of such models. There is considerable heterogeneity in the perceptions of the price path. While trader characteristics are often used to classify traders, trader characteristics do not explain the heterogeneity in perceptions. On the other hand, traders of a specific contract are associated with particular perceptions of the price path. This indicates that market microstructure may be the primary driver of traders' perceptions of the price path.

Suggested Citation

  • Marsh, Julia W. & Pennings, Joost M.E. & Garcia, Philip, 2004. "Perceptions Of Futures Market Liquidity: An Empirical Study Of Cbot & Cme Traders," 2004 Conference, April 19-20, 2004, St. Louis, Missouri 19014, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  • Handle: RePEc:ags:ncrfou:19014
    as

    Download full text from publisher

    File URL: http://purl.umn.edu/19014
    Download Restriction: no

    More about this item

    Keywords

    Marketing;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:ncrfou:19014. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search). General contact details of provider: http://www.agebb.missouri.edu/ncrext/ncr134/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.