Market quality and price discovery Introduction of the E mini energy futures An article from Global Finance Journal

Market quality and price discovery Introduction of the E mini energy futures An article from Global Finance Journal

This digital document is a journal article from Global Finance Journal, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
In mid-June 2002, the New York Mercantile Exchange (NYMEX) introduced E-mini futures contracts on natural gas and crude oil, a natural response to information technology developments and investor interest. The transition data allow examination of the effects of the new contracts on market quality and price discovery. Bid-ask spreads on the regular futures have been reduced significantly since introduction of the E-mini futures, showing improved market quality from competition effects. The E-mini market contributes more than 30% to the price discovery process, although it represents less than 1% of the volume of the regular futures with the same underlying. E-mini futures have several advantageous characteristics over regular futures, which should explain these significant results.

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