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題名 Trading Mechanisms and Trading Preferences on a 24-hour Futures Markets: A Case Study of the Floor/GLOBEX Switch on MATIF
作者 李志宏
Chow, Edward H;Lee, Jie-Haun;Shyy, Gang
貢獻者 財管系
關鍵詞 MATIF; GLOBEX; Microstructure; Interest rate futures; Trading mechanism
日期 1996-06
上傳時間 8-Jan-2015 17:30:15 (UTC+8)
摘要 MATIF is the only major exchange offering a 24-hour non-interrupted trading cycle accommodating two distinct non-overlapping trading mechanisms. We find that trading volume on the floor is significantly higher than that on GLOBEX around the switch of trading mechanism. GLOBEX is mainly used by institutions to hedge their cash positions. The higher trading volume on the floor may be attributed to several factors: trade immediacy vs. transaction cost, liquidity trading by locals, inertia to trade under a new mechanism, and transparency vs. anonymity. In addition, the floor`s open is unique with large interday return volatility.
關聯 Journal of Banking & Finance, 20(10), 1695-1713
資料類型 article
DOI http://dx.doi.org/10.1016/S0378-4266(96)00015-5
dc.contributor 財管系
dc.creator (作者) 李志宏zh_TW
dc.creator (作者) Chow, Edward H;Lee, Jie-Haun;Shyy, Gang
dc.date (日期) 1996-06
dc.date.accessioned 8-Jan-2015 17:30:15 (UTC+8)-
dc.date.available 8-Jan-2015 17:30:15 (UTC+8)-
dc.date.issued (上傳時間) 8-Jan-2015 17:30:15 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/72676-
dc.description.abstract (摘要) MATIF is the only major exchange offering a 24-hour non-interrupted trading cycle accommodating two distinct non-overlapping trading mechanisms. We find that trading volume on the floor is significantly higher than that on GLOBEX around the switch of trading mechanism. GLOBEX is mainly used by institutions to hedge their cash positions. The higher trading volume on the floor may be attributed to several factors: trade immediacy vs. transaction cost, liquidity trading by locals, inertia to trade under a new mechanism, and transparency vs. anonymity. In addition, the floor`s open is unique with large interday return volatility.
dc.format.extent 1078722 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Journal of Banking & Finance, 20(10), 1695-1713
dc.subject (關鍵詞) MATIF; GLOBEX; Microstructure; Interest rate futures; Trading mechanism
dc.title (題名) Trading Mechanisms and Trading Preferences on a 24-hour Futures Markets: A Case Study of the Floor/GLOBEX Switch on MATIF
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/S0378-4266(96)00015-5en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/S0378-4266(96)00015-5en_US