Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?
Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?
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DOI：
10.1002/fut.21760
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发表时间：
2016-09
影响因子：
1.9
通讯作者：
P. Adämmer;Martin T. Bohl;C. Gross
中科院分区：
文献类型：
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作者：
P. Adämmer;Martin T. Bohl;C. Gross
大宗商品期货市场需要多少交易活动才能有效地发现价格，这仍然是一个悬而未决的问题。为此，我们研究了在法兰克福欧洲交易所交易的两种交易清淡的农产品期货合约的价格发现过程。我们的实证结果表明，促进有效价格发现所必需的交易量门槛非常低。由于我们的结果是基于恒定和时变的矢量误差修正模型，我们还表明，忽略参数的时变性可能会导致误导结果。©2015 Wiley期刊，Inc.JRL Fut Mark 36：851-869,2016
It is still an unanswered question how much trading activity is needed for efficient price discovery in commodity futures markets. For this purpose, we investigate the price discovery process of two thinly traded agricultural futures contracts traded at the European Exchange in Frankfurt. Our empirical results show that the trading volume threshold which is necessary to facilitate efficient price discovery is very low. As our findings are based on constant and time‐varying vector error correction models, we also show that neglecting time‐variation in the parameters can lead to misleading results. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:851–869, 2016