An Analysis of Liquidity and the Speed of Price Adjustment of Major U.S. Index Futures

• Main Authors: Nan-Yuan Chu, 邱南源
• Other Authors: Humin Chung
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/58514665228736119425

碩士 === 淡江大學 === 財務金融學系 === 91 === This thesis compares the liquidity and the speed of price adjustment of the ATS and traditional open outcry systems for U.S. index futures. Using data of E-mini and regular S&P500 and Nasdaq100 futures, the empirical results show that E-mini futures has smaller spread than the traditional regular contracts based the liquidity measures of Thompson-Waller（1988）and Roll (1984). A comparison of the market depth shows that E-mini futures contracts have deeper market depth than the regular contracts. For the cases that FED monetary policy is expected, E-mini futures contracts have the same speed of price adjustment as the regular contracts. However, as to the unexpected FED monetary policy, E-mini futures contracts react faster than the regular contracts.