logo
ads
سفارش طراحی انواع اکسپرت و اندیکاتور
search

از بین هزاران مقاله ما جستجو کنید...

مجموعه آموزشی جامع فارکس

Frino, Mcinish And Toner-The Liquidity Of Automated Exchange s – New Evidence From German Bund Fut

Frino, Mcinish And Toner-The Liquidity Of Automated Exchange s – New Evidence From German Bund Fut
Frino, Mcinish And Toner-The Liquidity Of Automated Exchange s – New Evidence From German Bund Fut

Automated Exchange Previous literature has suggested that automated exchanges such as the Deutsche Terminborse (DTB) may be less liquid than their open-outcry counterparts such as the London International Financial Futures Exchange (LIFFE), although evidence provided on this issue has been mixed. This paper provides new evidence on the relative magnitudes of bid-ask spreads in the […]

book

Frino, Mcinish And Toner-The Liquidity Of Automated Exchanges - New Evidence From German Bund Fut

Automated Exchange

Previous literature has suggested that automated exchanges such as the Deutsche Terminborse (DTB) may be less liquid than their

open-outcry counterparts such as the London International Financial Futures Exchange (LIFFE),

although evidence provided on this issue has been mixed. This paper provides new evidence on the relative magnitudes

of bid-ask spreads in the Bund contract traded on the DTB and LIFFE using intraday data from

a period in which each exchanges share of total Bund trading was closer than previous research.

The findings suggest that quoted bid-ask spreads are wider on the LIFFE than the DTB, even after controlling for their determinants. Furthermore, bid-ask spreads on the DTB increase more rapidly as price volatility increases relative to the LIFFE. Overall, thisevidence implies that while automated exchanges are capable of providing more liquidity than floor  traded exchanges, the relative performance of automated exchanges deteriorates during periods of higher volatility. © 1998 Elsevier Science B.V. All rights reserved.

Automated Exchange
 

بخش دانلود
  • عنوان مقاله : ...Frino, Mcinish And Toner-The Liquidity Of Automated
  • نوع فایل : PDF
  • حجم فایل : 180 کیلوبایت

دانلود فایل