Market depth, liquidity and the effect of dual trading in futures markets

68 Pages·1992·3.7 MB·English

by  Park, Hun Y

UNIVERSITY OF
ILLINOIS LIBRARY
AT URBANA-CHAMPAIGN
BOOKSTACKS

Faculty Working Paper 92-0134
Market Depth, Liquidity and the Effect
of Dual Trading in Futures Markets
The Library of the
JUL * m'd
Universityof Illinois
-f vJrt*ana-Champatgn
Hun Park Asani Sarkar
Y.
Department ofFinance Department ofFinance
University ofIllinois University ofIllinois
Bureau of Economic and Business Research
College ofCommerce and Business Administration
University of Illinois at Urbana-Champaign

BEBR
FACULTY WORKING PAPER NO. 92-0134
College of Commerce and Business Administration
University of Illinois at Urbana-Champaign
June 1992
Market Depth, Liquidity and the Effect
of Dual Trading in Futures Markets
Hun Y. Park
Asani Sarkar
Department of Finance
Digitized by the Internet Archive
in 2012 with funding from
University of Illinois Urbana-Champaign
http://www.archive.org/details/marketdepthliqui92134park
June 1992
Market Depth, Liquidity and
the Effect of Dual Trading in Futures Markets
Hun Y. Park
Associate Professor of Finance
University of Illinois at Urbana-Champaign
340 Commerce West
1206 South Sixth Street
Champaign, Illinois 61820, USA
(217-333-0659)
Asani Sarkar
Assistant Professor of Finance
University of Illinois at Urbana-Champaign
340 Commerce West
1206 South Sixth Street
Champaign, IL 61820-6271
(217-333-9128)
*We are grateful to the Campus Research Board, the University of Illinois at Urbana-
Champaign, for financial support, the Commodity Futures Trading Commission and the Chicago
Mercantile Exchange for helping us acquire the Computerized Trade Reconstruction data and
The Time and Sales data. We appreciate In-Moo Lee for his excellent research assistance. We
thank Louis Chan, Jay Ritter and seminar participants at the University of Illinois for their
helpful comments and suggestions.