Large Trades and Intraday Futures Price Behavior
This paper examines the effects of outside customer large trades on the futures prices of five contracts traded on the Chicago Mercantile Exchange (CME): (1) S&P 500 Index futures; (2) NASDAQ-100 Index futures; (3) British Pound futures; (4) Live Cattle futures; and (5) Eurodollar futures. The Commodity Futures Trading Commissions unique Computer Trade Reconstruction (CTR) data is used for our analysis and the sample period covers January 2001 to December 2004. We find, for the whole sample period, that the buyer-initiated large trades have a larger permanent price impact than the seller-initiated large trades have and vice versa for the liquidity price effects. These results are consistent with previous findings on block and institutional trades in the equity markets. However, we find that the information (permanent) price effect of large sells are larger than the effects of large buys in bearish markets while the results are reversed in bullish markets. The liquidity price effects of buys are larger than the liquidity price effects of sells in bearish markets whereas the reverse results hold in bullish markets. Thus, our results are consistent with the hypothesis that the current economic condition is a key determinant of asymmetric price effects between large buys and large sells.
Market Price Impacts Liquidity Effects Information Effects Large Trades Futures Price Behavior
Alex Frino Johan Bjursell George H. K. Wang Andrew Lepone
Faculty of Economics and Business,University of Sydney and CEO,Capital Markets CRC Limited,Sydney,NS Department of Computational and Data Sciences,George Mason University,Fairfax,VA School of Management,George Mason University,Fairfax,VA Faculty of Economics and Business,University of Sydney
国际会议
大连
英文
1-50
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）