IDEAS home Printed from https://ideas.repec.org/p/tsa/wpaper/0036.html
   My bibliography  Save this paper

Competition for Order Flow and Market Quality in the Gold and Silver Futures Markets

Author

Listed:
  • Karan Bhanot

    (University of Texas at San Antonio)

  • Valeria Martinez

    (Fairfield University)

  • Zi Ning

    (University of Texas at San Antonio)

  • Yiuman Tse

    (University of Texas at San Antonio)

Abstract

On December 4, 2006, the side-by-side trading of Commodities Exchange (COMEX) Division’s gold and silver futures contracts was launched on Chicago Mercantile Exchange’s Globex electronic trading platform, as a fight-back against the introduction of copies of these contracts from the Chicago Board of Trade (CBOT). The electronic COMEX saw an immediate surge and steady increase in market share, while market portions of the electronic CBOT and open outcry COMEX continued to drop. The market quality for both full-sized and mini-sized contracts is superior to that of their pit-traded counterparts. Despite its shrinking volume share, the electronic CBOT has comparable market quality conditions to the electronic COMEX. The theoretical models of multimarket trading suggest that a transparent electronic limit order market enhances market quality overall. Moreover, the primary market emerges as the dominant center for trading volume. Our results are broadly consistent with these theoretical predictions.

Suggested Citation

  • Karan Bhanot & Valeria Martinez & Zi Ning & Yiuman Tse, 2008. "Competition for Order Flow and Market Quality in the Gold and Silver Futures Markets," Working Papers 0036, College of Business, University of Texas at San Antonio.
  • Handle: RePEc:tsa:wpaper:0036
    as

    Download full text from publisher

    File URL: http://interim.business.utsa.edu/wps/fin/0036FIN-257-2008.pdf
    File Function: Full text
    Download Restriction: no

    References listed on IDEAS

    as
    1. Dasgupta, Susmita & Laplante, Benoit & Mamingi, Nlandu, 1998. "Capital markets responses to environmental performance in developing countries," Policy Research Working Paper Series 1909, The World Bank.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    gold; silver; commodity futures; market quality;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    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:tsa:wpaper:0036. 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: (Wendy Frost). General contact details of provider: http://edirc.repec.org/data/cbutsus.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.