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Microstructures, Price Dominance, and Liquidity Measurement of Spot and Futures Markets
Journal of Financial Studies
View Archive Info| Field | Value | |
| Title |
Microstructures, Price Dominance, and Liquidity Measurement of Spot and Futures Markets
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| Creator |
Shi-Miin Liu
Hsiao-Chi Chen |
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| Description |
This paper analyzes the joint determination and evolution processes of equilibrium futures and spot prices using a market-microstructure model. Optimal behaviors of speculators, hedgers, and scalpers, as well as the impact of traders' characteristics on equilibrium prices and on futures-and-spot's lead-lag relationships are also investigated. Compared to Garbade and Silber's (1983) non-market-microstructure and some microstructure studies, our results are much more abundant. Moreover, both single- and multi-market indices are proposed to measure liquidity in the futures and spot markets simultaneously. The latter are superior to the former because an additional term to reflect cross-market effects on liquidity measurement is included. Key words: price dominance, market liquidity, futures, spot, hedgers, scalpers |
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| Publisher |
Journal of Financial Studies
財務金èžå¸åˆŠ |
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| Date |
2011-07-04
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| Type |
—
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| Format |
application/pdf
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| Identifier |
http://www.jfs.org.tw/index.php/jfs/article/view/2011209
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| Source |
Journal of Financial Studies; Vol 14, No 4 (2006); 59
財務金èžå¸åˆŠ; Vol 14, No 4 (2006); 59 |
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| Language |
—
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