IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/14821.html
   My bibliography  Save this paper

Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade

Author

Listed:
  • Ulibarri, Carlos A.

Abstract

This study uses a vector error correction (VEC) model to examine price-volume relationships between open outcry and e-trading at the Chicago Board of Trade. We test whether equilibrium price corrections on one system are independent of the other, and whether this price behavior is more sensitive to changes in screen-based volume as opposed to open outcry volume. Error correction terms capture an asymmetric price adjustment process led by open outcry trading. Open outcry volume (market depth) also results in price discovery by dampening price volatility on both markets. These aspects of market microstructure are relevant in identifying how newly introduced e-trading systems operate in relation to established open outcry systems,and how e-trading systems may affect the economic performance of futures exchanges generally.

Suggested Citation

  • Ulibarri, Carlos A., 2004. "Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade," MPRA Paper 14821, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:14821
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/14821/1/MPRA_paper_14821.pdf
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Asani Sarkar & Michelle Tozzi, 1998. "Electronic trading on futures exchanges," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 4(Jan).
    2. Ian Domowitz, 1992. "Automating the Price Discovery Process; Some International Comparisons and Regulatory Implications," IMF Working Papers 92/80, International Monetary Fund.
    3. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
    4. Ulibarri, Carlos A., 1998. "Is after-hours trading informative?," MPRA Paper 14818, University Library of Munich, Germany.
    5. Craig Pirrong, 1996. "Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(5), pages 519-543, August.
    6. Francis Breedon & Allison Holland, 1998. "Electronic versus open outcry markets: The case of the Bund futures contract," Bank of England working papers 76, Bank of England.
    7. Ulibarri, Carlos A. & Schatzberg, John, 2003. "Liquidity costs: Screen-based trading versus open outcry," Review of Financial Economics, Elsevier, vol. 12(4), pages 381-396.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    market liquidity; e-trading; vector error correction model;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

    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:pra:mprapa:14821. 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: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.