Trading System and Market Integration

Korn, Olaf; Kempf, Alexander

doi:10.2139/ssrn.1776

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Trading System and Market Integration

96-02

22 Pages Posted: 1 Feb 1997

See all articles by Olaf Korn

Alexander Kempf

University of Cologne - Department of Finance & Centre for Financial Research (CFR)

There are 2 versions of this paper

Date Written: November 1996

Abstract

In this paper we empirically investigate the impact of the trading system on the integration of markets. Our data set consists of intraday quotes of screen traded stock index futures and two stock index price series. One index series results from stock prices determined in a floor trading system while the other is based on screen traded stocks. Two main results are obtained: First, futures and spot prices move together more closely when both instruments are screen traded. Second, the observed discrepancy in market integration cannot be attributed to differences in arbitrage trading.

JEL Classification: G15, G20

Suggested Citation: Suggested Citation

Korn, Olaf and Kempf, Alexander, Trading System and Market Integration (November 1996). 96-02, Available at SSRN: https://ssrn.com/abstract=1776 or http://dx.doi.org/10.2139/ssrn.1776