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Floor Trading (floor + trading)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

Financial Market Design and the Equity Premium: Electronic versus Floor Trading

THE JOURNAL OF FINANCE, Issue 6 2005
PANKAJ K. JAIN
ABSTRACT We assemble the announcement and actual introduction dates of electronic trading by the leading exchanges of 120 countries to examine the impact of automation, controlling for risk factors and economic conditions. Dividend growth models and international CAPM suggest a significant decline in the equity premium, especially in emerging markets. Consistent with this reduction in the equity premium in the long run, there is a positive short-term price reaction to the switch. Further analysis of trading turnover supports the notion that electronic trading enhances the liquidity and informativeness of stock markets, leading to a reduction in the cost of capital. [source]

Reversing the lead, or a series of unfortunate events?

THE JOURNAL OF FUTURES MARKETS, Issue 12 2009
Amaranth, NYMEX
A number of studies compare the efficiency and transparency of floor trading with automated/electronic trading systems in the competition for order flow. Although most of these studies find that electronic systems lead price discovery, a few studies highlight the weaknesses of electronic trading in highly volatile market conditions. A series of unusual events in 2006, sparking extreme volatility in natural gas futures trading, provide an ideal setting to revisit the resilience of trading system price leadership in the face of high volatility. We estimate time-varying Hasbrouck-style information shares to investigate the intertemporal and cross-sectional dynamics in price discovery. The results strongly suggest that the information share is time-dependent and contract-dependent. Floor trading dominates price discovery in the less liquid longer-maturity contracts, whereas electronic trading dominates price discovery in the most liquid spot-month contract. We find that the floor trading information share increases significantly with realized volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1130,1160, 2009 [source]

Price discovery in the foreign exchange futures market

THE JOURNAL OF FUTURES MARKETS, Issue 11 2006
Yiuman Tse
Examination is made of the relative contributions to price discovery of the floor and electronically traded euro FX and Japanese yen futures markets and the corresponding retail on-line foreign exchange spot markets. GLOBEX electronic futures contracts provide the most price discovery in the euro; the on-line trading spot market provides the most in the Japanese yen. The floor-traded futures markets contribute the least to price discovery in both the euro and the Japanese yen markets. The overall results show that electronic trading platforms facilitate price discovery more efficiently than floor trading. Futures traders may also extract information from on-line spot prices. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1131,1143, 2006 [source]

Information transmission in electronic versus open-outcry trading systems: An analysis of U.S. equity index futures markets

THE JOURNAL OF FUTURES MARKETS, Issue 7 2005
Aysegul Ates
In this article the intraday price discovery process between regular index futures (floor trading) and E-mini index futures (electronic trading) in the S&P 500 and Nasdaq 100 index futures markets is examined, using intraday data from the introduction of the E-mini index futures to 2001. Using both information shares (Hasbrouck, J., 1995) and common long-memory factor weights (Gonzalo, J., & Granger, C. W. J., 1995) techniques, we find that both E-mini index futures and regular index futures contribute to the price discovery process. However, since September 1998, the contribution made by E-mini index futures has been greater than that provided by regular index futures. Based on regression analysis, we have also found direct empirical evidence to support the hypothesis that the joint effects of operational efficiency and relative liquidity determine the greater contribution made towards price discovery by electronic trading relative to open-outcry trading over time. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25: 679,715, 2005 [source]