标题: Price clustering in E-mini and floor-traded index futures
作者: Chung, HM
Chiang, SM
资讯管理与财务金融系
注:原资管所+财金所

Department of Information Management and Finance
公开日期: 1-三月-2006
摘要: This article sets out to investigate price clustering in both the open-outcry (floor-traded) and electronically traded (E-mini) index futures markets of the DjlA, S&P 500, and NASDAQ-100 indices. The results show that although price clustering is ubiquitous in both the floor-traded and E-mini index futures markets, it nevertheless tends to be higher for open-outcry index futures, with the clustering in floor-traded NASDAQ-100 index futures demonstrating the highest level (97%) at zero digits. A significant increase was also found in price clustering in floor-traded index futures after the introduction of E-mini futures trading. The results tend to suggest that those trading mechanisms that involve higher levels of human participation, such as the open-outcry markets, may well lead to increased incidences of price clustering. (c) 2006 Wiley Periodicals, Inc.
URI: http://dx.doi.org/10.1002/fut.20196
http://hdl.handle.net/11536/14369
ISSN: 0270-7314
DOI: 10.1002/fut.20196
期刊: JOURNAL OF FUTURES MARKETS
Volume: 26
Issue: 3
起始页: 269
结束页: 295
显示于类别:Articles


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