Trading System and Market Integration
Posted: 21 Sep 1998
There are 2 versions of this paper
Abstract
In this paper we investigate empirically the relative advantages of floor and screen trading systems. We judge the systems by their ability in providing a high degree of market integration. The main result is that a closer integration of underlying and derivative markets occurs when both instruments are screen traded, but the difference is significant only for short return intervals. In active trading periods the superiority of screen systems is even more pronounced.
JEL Classification: G15, G20
Suggested Citation: Suggested Citation
Korn, Olaf and Kempf, Alexander, Trading System and Market Integration. Available at SSRN: https://ssrn.com/abstract=127628
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