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TitleTrading Mechanisms and Trading Preferences on a 24-hour Futures Markets: A Case Study of the Floor/GLOBEX Switch on MATIF
Creator李志宏
Chow, Edward H;Lee, Jie-Haun;Shyy, Gang
Contributor財管系
Key WordsMATIF; GLOBEX; Microstructure; Interest rate futures; Trading mechanism
Date1996-06
Date Issued8-Jan-2015 17:30:15 (UTC+8)
SummaryMATIF 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.
RelationJournal of Banking & Finance, 20(10), 1695-1713
Typearticle
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