Electronic Screen Trading and the Transmission of Information: An Empirical Examination

Grünbichler, Andreas; Longstaff, Francis A.; Schwartz, Eduardo S.

doi:10.1006/jfin.1994.1002

Cited by 117 publications

(86 citation statements)

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“…In particular, it attempts to determine the influence of low latency and new high speed trading strategies. Grünbichler et al (1994) affirm that the DAX index futures market leads the spot market by about 15 to 20 minutes. Their data sample contains transaction data from 1990 through 1991.…”

Section: Introductionmentioning

confidence: 61%

“…introduction of Xetra, new high-end bandwidth connections, innovative matching algorithms) it is high time a broader analysis of the lead-lag relation is carried out. Our research distinguishes from Grünbichler et al (1994) in several ways. First, we consider 1-min high frequency return series.…”

Section: Proceedings Of the Fifteenth Americas Conference On Informatmentioning

confidence: 99%

“…Second, researchers and practitioners have been interested whether one market leads the other (e.g. Stoll and Whaley 1990;Chan 1992;Grünbichler, Longstaff, and Schwartz, 1994). Prior literature provides evidence that the futures market leads the spot market.…”

Section: Introductionmentioning

confidence: 99%

“…At that time the DAX index futures contracts were electronically traded on the Deutsche Terminbörse (DTB) and the underlying DAX stocks were floor traded at the Frankfurt Stock Exchange (FSE). By comparing their results to lead-lag relationships between two electronically organized markets, Grünbichler et al (1994) suggest that electronic trading 1 reinforces market integration.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

System Latency in Linked Spot and Futures Markets

Wagener

Riordan

2009

Lecture Notes in Business Information Processing

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We examine the lead-lag effect between DAX index and DAX index futures under asymmetric latency in the exchange infrastructure. Using 1-min high frequency observations in 2006-2007, it is found that the market integration between stock index and stock index futures has significantly grown compared to prior research. While the degree of price discovery in the futures market decreased both markets react mostly contemporaneously towards new information. An event story of latency reduction on Xetra reveals that exchange latency is one important factor explaining this development. We find evidence that smaller asymmetric round-trip-times between Xetra and Eurex lead to a higher degree of market integration.

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Section: Introductionmentioning

confidence: 61%

Section: Proceedings Of the Fifteenth Americas Conference On Informatmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

System Latency in Linked Spot and Futures Markets

Wagener

Riordan

2009

Lecture Notes in Business Information Processing

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“…The literature focuses on equity markets as they were the first to introduce electronic trading beyond the posting of indicative quotes. Grünbichler, Longstaff, and Schwartz (1994) find that screen traded Dax futures lead floor traded Dax stocks by a larger amount than in markets, where spot and futures are both traded on the floor. They argue that this is consistent with the hypothesis that screen trading accelerates the price discovery process.…”

Section: Introductionmentioning

confidence: 75%

Sovereign Bond Market Integration: The Euro, Trading Platforms and Financial Crises

Schulz

Wolff

2009

SSRN Journal

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We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German states (Länder) since 1992. At a low frequency bond market integration has increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Länder. The current financial turmoil has abated low frequency euroarea sovereign bond bond market integration, while it has had little effect on the integration with the US and UK. Bond market integration at a high frequency band remains relatively low until October 2000, when a sharp increase in integration can be observed in all samples. The increase in high frequency integration can be attributed to electronic trading platforms becoming functional. The financial crisis does not effect high frequency integration, as no technology shock occurs.JEL: E42, E44, F33, F37, G15 * Deutsche Bundesbank,

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