Slippage Costs in Order Execution for a Public Futures Fund

Thomas V. Greer, B Brorsen and Shi-Miin Liu

Review of Agricultural Economics, 1992, vol. 14, issue 2, 281-288

Abstract: The trading records of a commodity futures trading fund were examined to determine slippage on the fund's futures market transactions. Slippage was about double that found in previous research that included all traders. Slippage was largest on days with large price movements and for large orders. Funds appear to trade at times when the market is moving quickly and brokers have trouble filling orders at the target price. Since funds use similar systems, as a group they may be responsible for increasing intraday price movements because a large number of funds want to trade at the same time.

Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://hdl.handle.net/10.2307/1349507 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:revage:v:14:y:1992:i:2:p:281-288.

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

More articles in Review of Agricultural Economics from Agricultural and Applied Economics Association Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ( this e-mail address is bad, please contact ) and Christopher F. Baum ().