Noise trader risk and pricing error in the open outcry and E-mini index futures markets
msra
摘要
The arbitrage obstacles and arbitrage risk existing in trading mechanisms would make the asset price divergence persist for a short time. In an attempt to understand the differences in the effects of noise trader risk on the price efficiency of electronic trading and open outcry markets, this study examines the relationships between noise trade and pricing errors for the E-mini and floor-traded futures of S&P 500 index. The result indicates that the behavior reaction of futures traders to the market noise may affect the pricing efficiency. The difference in the reaction to the market noise between traders in open outcry and electronic trading markets may justify the excess pricing error of open outcry market.
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关键词
floor traded futures,price efficiency,e-mini futures,noise trader risk
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