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| Author: | Kappi, J. Siivonen, R. |
| Title: | Market liquidity and depth on two different electronic trading systems: a comparison of Bund futures trading on the APT and DTB |
| Journal: | Journal of Financial Markets
2000 : NOV, VOL. 3:4, p. 389-402 |
| Index terms: | LIQUIDITY BONDS FUTURE |
| Language: | eng |
| Abstract: | This paper investigates the liquidity of two different electronic trading systems - the APT system at LIFFE and the DTB system. First the authors describe the different characteristics of the trading systems and give potential reasons as to why they might differ in liquidity. Second they investigate empirically the liquidity provided by the two trading systems. The comparison is especially interesting because the Bund Futures instruments traded are identical and the markets are open simultaneously. |
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