政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/72676

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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/72676

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/72676

Title:	Trading Mechanisms and Trading Preferences on a 24-hour Futures Markets: A Case Study of the Floor/GLOBEX Switch on MATIF
Authors:	李志宏 Chow, Edward H;Lee, Jie-Haun;Shyy, Gang
Contributors:	財管系
Keywords:	MATIF;GLOBEX;Microstructure;Interest rate futures;Trading mechanism
Date:	1996-06
Issue Date:	2015-01-08 17:30:15 (UTC+8)
Abstract:	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.
Relation:	Journal of Banking & Finance, 20(10), 1695-1713
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/S0378-4266(96)00015-5
DOI:	10.1016/S0378-4266(96)00015-5
Appears in Collections:	[財務管理學系] 期刊論文

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