Price clustering in E‐mini and floor‐traded index futures

Huimin Chung and Shumei Chiang

Journal of Futures Markets, 2006, vol. 26, issue 3, 269-295

Abstract: This article sets out to investigate price clustering in both the open‐outcry (floor‐traded) and electronically traded (E‐mini) index futures markets of the DJIA, S&P 500, and NASDAQ‐100 indices. The results show that although price clustering is ubiquitous in both the floor‐traded and E‐mini index futures markets, it nevertheless tends to be higher for open‐outcry index futures, with the clustering in floor‐traded NASDAQ‐100 index futures demonstrating the highest level (97%) at zero digits. A significant increase was also found in price clustering in floor‐traded index futures after the introduction of E‐mini futures trading. The results tend to suggest that those trading mechanisms that involve higher levels of human participation, such as the open‐outcry markets, may well lead to increased incidences of price clustering. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26: 269–295, 2006

Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://hdl.handle.net/

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:wly:jfutmk:v:26:y:2006:i:3:p:269-295

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().