학술논문
Increased Efficiency in Electronic Markets: Liquidity vs. Informed Trading
이용수 5
- 영문명
- 발행기관
- People & Global Business Association
- 저자명
- Michael Williams Yiu man Tse
- 간행물 정보
- 『Global Business and Finance Review』Vol.14 No.1, 37~49쪽, 전체 13쪽
- 주제분류
- 경제경영 > 경영학
- 파일형태
- 발행일자
- 2009.06.30
4,360원
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국문 초록
영문 초록
This study examines market efficiency differences between open outcry and electronic exchanges under varying liquidity conditions for the FTSE-100 Index Futures Contract. In line with previous literature, this study finds that liquidity provision and market efficiency have increased on the electronic exchange. Unlike previous literature, this study finds that private information provision decreased between exchange types. Under standard liquidity conditions, clear efficiency differences exist between the open outcry and electronic regimes. However, by employing a liquidity adjustment procedure, this study finds no difference in efficiency between the two exchange types. Based on previous literature, this study concludes that higher efficiency in electronic exchanges is due to enhanced liquidity provision from informed traders and not private information provision.
목차
Abstract
Ⅰ. Introduction
Ⅱ. FTSE-100 Index Futures Contract
Ⅲ. Previous Literature
Ⅳ. Methodology
Ⅴ. Empirical Results
Ⅵ. Conclusion
References
Biographies
키워드
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