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Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures

Kellard, NM and Snaith, S and Ahmad, N (2018) 'Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures.' Journal of Futures Markets. ISSN 0270-7314

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Abstract

Given the widespread transfer of trading to electronic platforms we ask whether such trading is more efficient than open outcry. Examining the Crude Palm Oil market from 1995:06 to 2008:07, our findings, derived from a novel threshold autoregressive relative efficiency measure, are that efficiency is conditional on (i) volatility (ii) the maturity of the futures contract and (iii) the market trading system. Specifically, when volatility is high, open outcry is superior for shorter maturities and electronic trading for longer maturities. These results suggest an efficiency skew and that there may be benefits to the coexistence of trading mechanisms.

Item Type: Article
Uncontrolled Keywords: Market efficiency, commodity futures contracts, open outcry, electronic trading, crude palm oil
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Elements
Date Deposited: 28 Nov 2017 12:14
Last Modified: 08 Mar 2018 16:15
URI: http://repository.essex.ac.uk/id/eprint/20733

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