Feasibility, forward pricing and returns: Recent developments in the literature on futures trading

Impact of the price adjustment process a

Impact of the price adjustment process and trading noise on return patterns of grain futures

✍ Shi-Miin Liu; Sarahelen Thompson; Paul Newbold 📂 Article 📅 1992 🏛 John Wiley and Sons 🌐 English ⚖ 730 KB

Three major types of price-adjustment delays caused by institutional factors are discussed by Cohen, Maier, Schwartz, and Whitcomb (CMSW) (1986, p. 114): (1) transaction price adjustments lag quotation price adjustments; (2) specialist-dealers impede quotation price adjustments; and (3) quotation pr