✦ LIBER ✦

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

✍ Scribed by Shi-Miin Liu; Sarahelen Thompson; Paul Newbold

Publisher: John Wiley and Sons
Year: 1992
Tongue: English
Weight: 730 KB
Volume: 12
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990120508

No coin nor oath required. For personal study only.

✦ Synopsis

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 price adjustment lags for individual traders.

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