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| Shah, Samarth; Brorsen, B. Wade. |
| This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market than in the open outcry market. A new approach is used to estimate liquidity costs which eliminates bias resulting from splitting of orders in electronic markets. The liquidity costs are still considerably lower after correcting the bias in electronic market. Liquidity costs were higher in after-hours trading as compared to regular trading hours suggesting a negative impact of volume on liquidity costs. Volatility of futures prices and volume per trade are positively related to liquidity costs, while a negative relation is... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Bid-ask spread; Electronic trading; Execution costs; KCBT; Liquidity; Agribusiness; Agricultural Finance; Marketing. |
| Ano: 2010 |
URL: http://purl.umn.edu/56406 |
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| Shah, Samarth; Brorsen, B. Wade. |
| This study compares liquidity costs of electronic and open-outcry wheat futures contracts traded side-by-side on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market. Liquidity costs in the electronic market are still considerably lower after eliminating the bias created by splitting orders in the electronic market. Price volatility and transaction size are positively related to liquidity costs, while a negative relation is found between daily volume and liquidity costs. Price clustering at whole cent prices occurs in the open-outcry market which helps explain its higher liquidity costs. Daily volumes were distinctively higher during the Goldman-Sachs roll, but not enough to explain the higher liquidity costs in... |
| Tipo: Journal Article |
Palavras-chave: Bid-ask spread; Electronic trading; Execution costs; KCBT; Liquidity; Crop Production/Industries; Risk and Uncertainty. |
| Ano: 2011 |
URL: http://purl.umn.edu/105518 |
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| Frank, Julieta; Garcia, Philip. |
| Estimation of liquidity costs in agricultural futures markets is challenging because bid-ask spreads are usually not observed. Spread estimators that use transaction data are available, but little agreement exists on their relative accuracy and performance. We evaluate four conventional and a recently proposed Bayesian estimators using simulated data based on Roll’s standard liquidity cost model. The Bayesian estimator tracks Roll’s model relatively well except when the level of noise in the market is large. We derive an improved estimator that seems to have a higher performance even under high levels of noise which is common in agricultural futures markets. We also compute liquidity costs using data for hogs and cattle futures contracts trading on the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Liquidity costs; Bid-ask spread; Bayesian estimation; Gibbs sampler. |
| Ano: 2007 |
URL: http://purl.umn.edu/37572 |
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