The Rise and Breakup of the Commodity Exchange Membership: An Analysis of CBOT Seat Prices

Abstract

We conduct a clinical analysis of the CBOT full membership that provides holders with rights to trade any of the exchange’s contracts using a unique database of seat information from the period 1897-2020. We examine microstructure and asset pricing properties of seats including during periods before and following the CBOT’s transition from trading primarily agriculture futures to financial futures as well as periods before and following its demutualization at which time members experienced a separation in their ownership and trading rights. Our analysis adds an interesting dimension to the risk management literature and provides added insight into the market for exchange seats including their returns, turnover, and sensitivities to asset factor premia and to exchange volume.