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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/6077

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/6077

Title:	Trading mechanisms and trading preferences on a 24-hour futures market: A case study of the Floor/GLOBEX switch on MATIF
Authors:	周行一 Chow, Edward H.
Keywords:	MATIF;GLOBEX;Microstructure;Interest rate futures;Trading mechanism
Date:	1996
Issue Date:	2008-11-05 16:49:52 (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:	10.1016/S0378-4266(96)00015-5
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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