FUTURES TRADING IN LESS NOISY MARKETS

被引：9
|
作者：
WEBB, RI
机构：
[1] McIntire School of Commerce, University of Virginia, Charlottesville, VA 22903
来源：
JAPAN AND THE WORLD ECONOMY | 1995年 / 7卷 / 02期
关键词：
NOISE; AUCTIONS; FUTURES MARKETS;
D O I：
10.1016/0922-1425(94)00030-W
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The Itayose-hoh auction system used on many Japanese commodity futures markets produces futures prices which are less 'noisy' than those generated on the open outcry auction system used on most U.S futures markets. This affords a test of some propositions Black (1986) advances concerning the influence of 'noise' on the behavior of speculative prices. Data on Tokyo Grain Exchange azuki or red bean futures prices are used to examine Black's hypotheses.
引用
收藏
页码：155 / 173
页数：19
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