The Rise and Breakup of the Commodity Exchange Membership: An Analysis of CBOT Seat Prices

66 Pages Posted: 22 Feb 2021

See all articles by Ekaterina E. Emm

Ekaterina E. Emm

affiliation not provided to SSRN

Gerald D. Gay

Georgia State University - Department of Finance

Han Ma

Shanghai University of Economics and Finance

Honglin Ren

Renmin University of China - School of Business

Date Written: January 11, 2021

Abstract

We conduct a clinical analysis of the CBOT full membership that provides holders with rights to trade any of the exchange’s contracts using a unique database of seat information from the period 1897-2020. We examine microstructure and asset pricing properties of seats including during periods before and following the CBOT’s transition from trading primarily agriculture futures to financial futures as well as periods before and following its demutualization at which time members experienced a separation in their ownership and trading rights. Our analysis adds an interesting dimension to the risk management literature and provides added insight into the market for exchange seats including their returns, turnover, and sensitivities to asset factor premia and to exchange volume.

Keywords: futures market, commodity futures, derivatives, market structure, asset pricing, non-profit

JEL Classification: G12, G13, G14, G23, L11, L33

Suggested Citation

Emm, Ekaterina E. and Gay, Gerald D. and Ma, Han and Ren, Honglin, The Rise and Breakup of the Commodity Exchange Membership: An Analysis of CBOT Seat Prices (January 11, 2021). Available at SSRN: https://ssrn.com/abstract=3764229 or http://dx.doi.org/10.2139/ssrn.3764229

Ekaterina E. Emm

affiliation not provided to SSRN

No Address Available

Gerald D. Gay

Georgia State University - Department of Finance ( email )

Robinson College of Business
Atlanta, GA 30303-3083
United States
404-413-7321 (Phone)
404-413-7312 (Fax)

Han Ma

Shanghai University of Economics and Finance ( email )

777 Guoding Road
Shanghai, AK Shanghai 200433
China

Honglin Ren (Contact Author)

Renmin University of China - School of Business ( email )

Beijing
China

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