Journal
REVIEW OF FINANCIAL ECONOMICS
Volume 20, Issue 1, Pages 28-36Publisher
ELSEVIER SCIENCE INC
DOI: 10.1016/j.rfe.2010.09.001
Keywords
Corn; Commodity futures; Market quality; Soybeans; Wheat
Categories
Ask authors/readers for more resources
The Chicago Board of Trade (CBOT) introduced side by side trading of its agricultural futures commodities in August 2006. We analyze and compare market quality conditions in corn, soybeans, and wheat futures when these contracts trade simultaneously on open outcry and electronic trading venues. We find that volume migrates from floor trading to electronic trading and transaction costs are higher for floor than for screen-based trading. Nonetheless, we observe that both trading venues contribute significantly to price discovery. Given the recent surge in volatility in commodities futures markets, we also investigate activity variables such as volume that can help explain volatility in the two different trading platforms. We find that for agricultural commodities, variables that help describe volatility are not characteristic of the type of trading venue. (C) 2010 Elsevier Inc. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available