最大订单规模与市场质量：来自商品期货市场自然实验的证据

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2024-02-22 DOI:10.1002/fut.22494

Kun Peng, Zhepeng Hu, Michel A. Robe

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引用次数: 0

摘要

我们利用 2018 年交易所规定的部分（但并非全部）美国农产品期货市场最大订单规模的增加，将订单下达和执行的外生约束、价格波动和市场流动性联系起来。过去 2500 合约的最大交易量是有约束力的：市场上存在下达和执行更大订单的需求。在交易所将最大订单量翻了两番之后，最佳买入价和卖出价的限价订单簿深度急剧增加。在波动相对稳定的情况下，买卖价差缩小，大额交易对价格的影响下降。总之，我们发现在最大订单和交易规模增加后，市场质量会有所改善。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets

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Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets

We exploit a 2018 exchange-mandated increase of the maximum order size in some—but, crucially, not all—US agricultural futures markets, to link exogenous constraints on order placement and execution, price volatility, and market liquidity. The old maximum size of 2500 contracts was binding: demand exists for placing and executing much larger orders. Limit-order book depth at the best bid and ask increases dramatically after the exchange quadruples the maximum order size. Amid relatively stable volatility, bid-ask spreads narrow, and the price impact of large trades falls. In sum, we find that market quality can improve after an increase in maximum order and trade size.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.