An empirical analysis of the supply of liquidity by locals in futures markets: Evidence from the Sydney Futures Exchange |
| |
| Affiliation: | 1. School of Automation, Southeast University, Nanjing 210096, China;2. School of Mathematics, and Research Center for Complex Systems and Network Sciences, and Southeast University, Nanjing 210096, China;2. National Institute on Drug Abuse, National Institutes of Health, Bethesda, MD, USA;1. Division of Agricultural Chemistry, Gyeongsang National University, Jinju 52828, South Korea;2. Institute of Agriculture and Life Science, Gyeongsang National University, Jinju 52828, South Korea |
| |
| Abstract: | Contrary to the received view of market makers in theoretical literature, this study provides direct evidence that locals on the Sydney Futures Exchange (SFE) do not trade exclusively as passive market participants. In fact, rather than act purely as market makers, locals as a group are almost as likely to demand as supply liquidity. Further, locals trading on the floor of the SFE are less likely to supply liquidity when bid–ask spreads, trading frequency and price volatility are high, as well as around information announcements. These findings are consistent with aggressive trading by locals on the basis of a short-lived information advantage. This study also documents considerable diversity in the propensity of locals to supply liquidity, finding that it is related to the quantity, frequency and average size of their trading activity. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
