Price clustering in E‐mini and floor‐traded index futures

Journal of Futures Markets - Tập 26 Số 3 - Trang 269-295 - 2006
Huimin Chung1, Shao-Shan Chiang2
1National Chiao Tung University, ShinChu 300, Taiwan
2Lunghwa Univ. of Sci. & Technol., Taiwan

Tóm tắt

AbstractThis article sets out to investigate price clustering in both the open‐outcry (floor‐traded) and electronically traded (E‐mini) index futures markets of the DJIA, 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. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26: 269–295, 2006

Từ khóa


Tài liệu tham khảo

10.1016/0927-538X(96)00016-9

Alexander G. J. &Peterson M. A.(2004).An exploratory analysis of trade‐size clustering on the NYSE. Seminar paper at the Office of Economic Analysis/SEC and UCLA.

10.1111/1540-6261.00454

10.1002/fut.10080

10.1016/S0378-4266(98)00054-5

10.1016/S1042-4431(98)00045-6

Ates A. &Wang G. H. K.(2004 June/July).When size matters: The case of equity index futures. Paper presented at the annual meeting of the European Financial Management Association Basel Switzerland.

10.1002/fut.3990050105

10.1016/S0304-405X(97)00010-X

10.1016/S0304-405X(97)00011-1

10.1016/S1042-4431(98)00048-1

10.1002/fut.10086

10.1016/S0927-538X(02)00049-5

10.1111/j.1540-6261.1994.tb04783.x

10.1111/j.1540-6261.1994.tb04782.x

10.1016/S0378-4266(01)00262-X

Goodhart C. &Curcio R.(1991).The clustering of bid–ask prices and spread in the foreign exchange markets (Discussion Paper No. 110). London: London School of Economics Financial Markets Group.

10.1086/467365

10.1111/1468-5957.00216

Hamilton J.D., 1994, Time series analysis, 10.1515/9780691218632

10.1093/rfs/4.3.389

10.1016/S1386-4181(98)00008-1

10.1046/j.1540-6261.2003.00609.x

10.2307/1913827

Hornick J., 1994, The influence of prototypic values on the validity of studies using time estimates, Journal of Market Research Society, 36, 145

Ikenberry D. &Weston J. P.(2003).Clustering in US stock prices after deci‐malization (working paper). Urbana‐Champaign and Houston: University of Illinois at Urbana‐Champaign and Rice University.

10.1016/S0378-4266(00)00131-X

10.1111/j.1540-6261.1986.tb02531.x

10.1017/S0022109000003112

10.1007/BF00129167

10.1016/0927-538X(94)90027-2

10.1016/j.jfineco.2004.08.005

10.1111/1540-6261.00588

10.1086/296071

10.1002/fut.10129

10.1002/fut.3990140706

10.1002/(SICI)1096-9934(199710)17:7<757::AID-FUT2>3.0.CO;2-M

10.1016/S0304-405X(01)00076-9