Veröffentlichungen | Abstract

Trading System and Market Integration

in: Journal of Financial Intermediation, Vol. 7 (1998), S. 220-239

Prof. Dr. Alexander Kempf [University of Cologne]

Olaf Korn [Zentrum für Europäische Wirtschaftsforschung, Mannheim] 

 

Abstract:

In this paper we empirically investigate the impact of the trading system

on the integration of markets. Our data set consists of intraday quotes of

screen traded stock index futures and two stock index price series. One index

series results from stock prices determined in a floor trading system while

the other is based on screen traded stocks. Two main results are obtained:

First, futures and spot prices move together more closely when both instruments

are screen traded. Second, the observed discrepancy in market integration

cannot be attributed to differences in arbitrage trading.