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.