Introduction Of Electronic Trading Research Articles

Blockchain technologies as a means of sale of lease right on the agricultural lands

Introduction. A prerequisite for the market circulation of agricultural land is the formation of the appropriate infrastructure, an important component of which is land auctions, which have a thousand-year history and are widely used in many countries of the world.The purpose of the article. The purpose of the article is to improve the process of conducting land auctions regarding the sale of lease rights on agricultural land by the procedure of introducing electronic auctions using blockchain technology.Methods. Methods of scientific knowledge, method of analogies, methods of analysis and synthesis, method of system analysis, economic and statistical methods were used to reveal the set goal.Results. The institutional content of the market infrastructure for ensuring the circulation of agricultural land has been improved through the implementation of proposals for the implementation of purchase and sale transactions and land lease rights in the form of an electronic auction, which, unlike the existing one, is complemented by the procedure for introducing electronic auctions using blockchain technology, which allows to increase the speed of transactions, reduce costs and prevent corruption.Perspectives. Further research will be aimed at the introduction of electronic trading using blockchain technology, which allows to increase the speed of transactions, reduce costs and prevent corruption.

Roll’s Model of Bid Ask Spread: Implicit Evidence from BSE

This paper empirically studies the bid ask spread model as proposed by Richard Roll using the data from Bombay Stock Exchange (henceforth, BSE). The objective is to understand and determine whether the impact of various events like the abolition of Badla, introduction of Electronic Trading and Futures Trading in BSE, are sufficiently captured by Roll’s model or not. The order processing cost model was taken into consideration for the three period event study, namely: i. Pre and post impact when the Badla was banned, ii. Introduction of Electronic trading in BSE, and iii. Commencement of futures trading in BSE Although the empirical findings presented here are those of the stocks which comprises the Sensex, but it gives a good picture of the market response as a whole as the volume of trading in the BSE is highly skewed in favor of the Sensex scripts.The results indicate that Roll’s model does not fit the data very well. There is a large number of covariance of price change which is positive, which is contrary to the proposed model. The variation of the calculated spread is also significant on a month to month basis. Further research is needed to propose a theoretical framework for Indian stock market.

The Iraqi Stock Market: Development and Determinants

The Iraqi stock market is a young and nascent market that began its operation in June 2004. This paper explains the development of the Iraq stock exchange (ISX). It is shown that some progress was achieved in its development but the market is still very small with less than 100 companies listed. Moreover, the determinants of the Iraqi stock market index are described. It is found that the ISX index is mainly driven by exchange rates, interest rates, the overall security situation as measured by an index for civilian deaths from violence, electricity as a proxy for economic activity, and the price index. Finally, this paper shows that the market still lacks efficiency. While the lack of efficiency is no surprise shortly after the opening of a market, it is noteworthy that the market is still inefficient after the introduction of electronic trading and an increase in liquidity.

Trader Survival: Evidence from the Energy Futures Markets

We analyze the adaptation of traders and the determinants of trader survival during a period of changing market structures. Our unique sample of transactions level data covers the introduction of electronic trading in the NYMEX energy futures market. The results show that most floor traders adapted to the side-by-side electronic and open outcry trading, although trader attrition increased and the profitability of surviving traders declined dramatically. We also find that trading profits, trader experience and sophistication, and dual trading have a positive effect on the probability of trader survival. Scalpers are less likely to exit trading in pure open outcry trading, but are more likely to fail than traders who hold open positions longer in side-by-side trading. Finally, traders trading in multiple energy futures markets and those who use both the exchange floor and electronic trading appear to have a survival advantage in side-by-side trading.

Electronic Trading of Distressed Bank Loans

An electronic stock exchange is a market place where buyers and sellers of financial instruments conclude trades without physical contact. In India, we have electronic exchanges for currencies, commodities, equity, debt, etc. This article looks at the need for and importance of an electronic exchange for distressed bank loans and outlines the benefits that banks and financial institutions can realize by using the electronic trading platform for distressed loan sales. RBI issued detailed procedural guidelines in July, 2005 for sale of distressed loans to banks and ARCs (Asset Reconstruction Companies). It is observed that the performance of banks on the loan sales front is very tardy. The reasons are not far to seek. Currently, all loan sale deals are done off line and the entire loan sales cycle take about 45 to 60 days on an average. Introduction of electronic trading would substantially bring down the transaction processing time to less than a week.

Intraday price-reversal patterns in the currency futures market: The impact of the introduction of GLOBEX and the euro

This article assesses the intraday price-reversal patterns of seven major currency futures contracts traded on the Chicago Mercantile Exchange over 1988–2003 after 1-day returns and opening gaps. Significant intraday price-reversal patterns are observed in five of the seven currency futures contracts, following large price changes. Additional tests are conducted in three subperiods (1988–1992, 1993–1998, and 1999–2003) to examine the impact of the introduction of electronic trading on GLOBEX in 1992 (to assess how a near 24-hour trading session might impact the next-day opening and closing futures prices) and the introduction of the euro in 1999 (to assess its impact on price predictability in other futures markets). It is found that the introduction of the GLOBEX in 1992 significantly reduced pricing errors in currency futures in the second subperiod, making the currency futures markets fairly efficient. However, the introduction of the new currency, the euro, and the disappearance of several European currencies in 1999, resulted in significant price patterns (mostly reversals and some persistence) in most of the currency futures, indicating inefficiencies in the third subperiod. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1089–1130, 2006

Differences in the Cost of Trade Execution Services on Floor-Based and Electronic Futures Markets

This paper provides new evidence on the impact of electronic trading on brokerage commissions by investigating a sample period that covers the period of transition from floor to electronic trading on the Sydney Futures Exchange. After controlling for liquidity, volatility and broker identity, the introduction of electronic trading remains to be associated with lower brokerage commissions relative to floor markets. The study also provides new evidence on brokerage commissions in futures markets finding that commission fees charged on futures trades average 0.002% of transaction value. This is up to 120 times smaller than the magnitude of brokerage fees charged in stock markets, and considerably lower than the magnitude of brokerage fees assumed for futures markets in previous research. Consistent with existing studies based on stock markets, commissions charged per contract decrease with order size reflecting economies of scale in the provision of brokerage services in futures markets. Commission rates are positively related to bid-ask spreads and price volatility, which proxy for the probability of execution error costs and execution difficulty, respectively. Finally, the identity of the broker is found to be a significant determinant of commissions reflecting different pricing schedules across brokers.

The impact of electronic trading on bid‐ask spreads: Evidence from futures markets in Hong Kong, London, and Sydney

AbstractDuring 1999 and 2000, three major futures exchanges transferred trading in stock index futures from open outcry to electronic markets: the London International Financial Futures and Options Exchange (LIFFE); the Sydney Futures Exchange (SFE); and the Hong Kong Futures Exchange (HKFE). These changes provide unique natural experiments to compare relative bid‐ask spreads of open outcry vs. electronically traded markets. This paper provides evidence of a decrease in bid‐ask spreads following the introduction of electronic trading, after controlling for changes in price volatility and trading volume. This provides support for the proposition that electronic trading can facilitate higher levels of liquidity and lower transaction costs relative to floor traded markets. However, bid‐ask spreads are more sensitive to price volatility in electronically traded markets, suggesting that the performance of electronic trading systems deteriorates during periods of information arrival. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:675–696, 2004

Financial Market Design and Equity Premium: Electronic versus Floor Trading

We assemble the dates of announcement and actual introduction of electronic trading by the leading exchange of 118 countries to examine the long term and medium term impact of automation. The dividend growth model suggests a decline in expected returns by 0.08% per month after the introduction of electronic trading. Consistent with this reduction in equity premium in the long run, there is a positive short-term price reaction to the switch. These findings are sustained even after controlling for risk factors, financial integration, economic liberalization, and economic development. The results support the notion that electronic trading enhances the liquidity and informativeness of stock markets leading to a reduction in illiquidity premium.

The Cost of Trade Execution Services in Futures Markets

This paper provides new evidence on the magnitude and determinants of brokerage commissions in futures markets using a sample of brokerage fees charged to transactions on the Sydney Futures Exchange. Commission fees charged on futures trades average 0.002 percent of transaction value. This is up to 120 times smaller than the magnitude of brokerage fees charged in stock markets, and considerably lower than the magnitude of brokerage fees assumed for futures markets in previous research. Consistent with existing studies based on stock markets, commissions charged per contract decrease with order size reflecting economies of scale in the provision of brokerage services in futures markets. Commission rates are positively related to bid-ask spreads and price volatility, which proxy for the probability of execution error costs and execution difficulty, respectively. The identity of the broker is a significant determinant of commissions reflecting different pricing schedules across brokers. Finally, the sample period examined in this study covered the period of transition to electronic trading on the Sydney Futures Exchange. There is strong evidence that the introduction of electronic trading is associated with lower brokerage commissions relative to floor traded markets.

The Relationship Between Spot and Futures Index Contracts after the Introduction of Electronic Trading on the Johannesburg Stock Exchange

The objective of this paper is to analyze the interrelationship between the all share, gold and industrial indexes of the Johannesburg Stock Exchange and the corresponding index futures contracts traded on the South African Futures Exchange after the introduction of electronic trading. For the all share and industrials contracts, we find quicker information transmission between the spot and futures markets after the introduction of electronic trading. In addition, the contemporaneous correlation between the markets increases and the size and asymmetry of the volatility spillovers is reduced. For the gold contract, we find slower information transmission after the introduction of electronic trading, but this result may be biased by the fact that the gold contract was discontinued.

Market efficiency before and after the introduction of electronic trading at the Toronto stock exchange

AbstractThe trend toward automation of the trading activity on stock exchanges has spread around the world in recent years. Using rescaled range analysis, we test the effect of automation at the TSE on the market's efficiency using daily and monthly return data. Significant departures from a random walk model were found for selected individual stocks in the daily data. However, monthly returns of various stock indexes were more closely described by a random walk process. Differences in the daily and monthly data may be attributable to the effects of aggregation and indexation on return data. In addition, several simple ‘technical’ trading strategies were compared with a ‘buy and hold’ strategy using daily data for 25 stocks. Despite the presence of non‐random patterns in the return data, the technical trading rules could not exploit this information to out‐perform the buy and hold strategy. Thus, the presence of deviations from a random walk do not necessarily translate into abnormal performance. Overall, the results suggest automation did not significantly alter the degree of market efficiency at the TSE.