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| Frank, Julieta; Garcia, Philip. |
| Understanding the determinants of liquidity costs in agricultural futures markets is hampered by a need to use proxies for the bid-ask spread which are often biased, and by a failure to account for a jointly determined micro-market structure. We estimate liquidity costs and its determinants for the live cattle and hog futures markets using alternative liquidity cost estimators, intraday prices and micro-market information. Volume and volatility are simultaneously determined and significantly related to the bid-ask spread. Daily volume is negatively related to the spread while volatility and volume per transaction display positive relationships. Electronic trading has a significant competitive effect on liquidity costs, particularly in the live cattle... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Bayesian estimation; Bid-ask spread determinants; Liquidity cost; Livestock Production/Industries; Marketing. |
| Ano: 2009 |
URL: http://purl.umn.edu/49575 |
