Login | Register

Electronic trading, liquidity and information efficiency : evidence from the Montreal exchange

Title:

Electronic trading, liquidity and information efficiency : evidence from the Montreal exchange

Wang, Kunyi (2007) Electronic trading, liquidity and information efficiency : evidence from the Montreal exchange. Masters thesis, Concordia University.

[img]
Preview
Text (application/pdf)
MR28986.pdf - Accepted Version
3MB

Abstract

This paper studies the deviation spread of the Equity Index S&P/TSX 60 Futures Contract SXF's daily price from the Cost of Carry Model before and after the contract is launched on the electronic trading platform in the Montreal Exchange. The relative stability of the deviation spread after the introduction of electronic trading shows strong market efficiency improvement. Besides this, after examining the relationship of the deviation spread with the trading volume and some other information sources generated on the trading venue before and after the introduction of the electronic trading, it is found that electronic trading greatly mitigates these information sources' adverse impacts on the spread's stability. This empirical evidence suggests that the information efficiency facilitated by the electronic trading may not conflict with the liquidity enhancement in the public exchange organization.

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Wang, Kunyi
Pagination:vi, 55 leaves : ill. ; 29 cm.
Institution:Concordia University
Degree Name:Theses (M. Sc. Admin.)
Program:John Molson School of Business
Date:2007
Thesis Supervisor(s):Switzer, Lorne
ID Code:975311
Deposited By: Concordia University Library
Deposited On:22 Jan 2013 16:05
Last Modified:18 Jan 2018 17:40
Related URLs:
All items in Spectrum are protected by copyright, with all rights reserved. The use of items is governed by Spectrum's terms of access.

Repository Staff Only: item control page

Downloads per month over past year

Back to top Back to top