Bund for Glory, or, it's a Long Way to Tip a Market

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2015-12-01 DOI:10.2139/ssrn.672504

Craig Pirrong

引用次数: 8

Abstract

Theory predicts that liquidity considerations make financial markets "tippy". In 1998, trading on Bund futures tipped from LIFFE (an open outcry exchange) to Eurex (an electronic market). Measures of spreads on LIFFE and Eurex did not change markedly in the eighteen month period over which Eurex achieved dominance in Bund futures trading, but a measure of market depth did worsen on LIFFE as tipping proceeded. The evidence suggests that trading fee differentials and operational efficiences were the key factors in preciptiating the shift in volume. The "sponsorship" of the Eurex platform by German banks narrowed liquidity cost differences sufficiently to permit Eurex to charge lower fees and thereby undercut total trading costs on LIFFE.

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外滩的荣耀，或者，这是一个很长的路要走的市场

理论预测，对流动性的考虑使金融市场“摇摆不定”。1998年，外滩期货交易从伦敦国际金融期货交易所(LIFFE，一个公开叫价的交易所)转向欧洲期货交易所(Eurex，一个电子市场)。在欧洲期货交易所(Eurex)在德国国债期货交易中占据主导地位的18个月期间，LIFFE和欧洲期货交易所(Eurex)的价差指标没有明显变化，但随着内幕交易的进行，LIFFE的市场深度指标确实恶化了。证据表明，交易费用差异和操作效率是促成交易量变化的关键因素。德国银行对欧洲期货交易所平台的“赞助”缩小了流动性成本差异，使欧洲期货交易所能够收取更低的费用，从而降低伦敦期货交易所的总交易成本。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.