Price transmission and information asymmetry in Bund futures markets: LIFFE vs. DTB

The London International Financial Futures Exchange (LIFFE) introduced the Bund futures contract in September 1988. Since then, the Bund has become one of the most active contracts traded on LIFFE. In the meantime, the Deutsche Terminborse (DTB) was founded in July 1988 and started trading Bund futu...

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Bibliographic Details
Published in:The journal of futures markets 1995-02, Vol.15 (1), p.87-99
Main Authors: Shyy, Gang, Lee, Jie-Haun
Format: Article
Language:English
Subjects:
Arbitrage
Asymmetric information
Comparative studies
Futures
Futures exchanges
Futures trading
Information
Prices
Statistical analysis
Time series
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Summary:The London International Financial Futures Exchange (LIFFE) introduced the Bund futures contract in September 1988. Since then, the Bund has become one of the most active contracts traded on LIFFE. In the meantime, the Deutsche Terminborse (DTB) was founded in July 1988 and started trading Bund futures in November 1990. The introduction of the Bund contract on the DTB creates an interesting opportunity to study the lead-lag relationship between LIFFE and DTB. LIFFE is the established futures exchange with a higher volume of Bund futures trading. DTB is the home country exchange of cash Bunds. In addition, DTB employs an automated trading system, while LIFFE uses the traditional open outcry system during normal trading hours and electronic trading after hours. The intermarket relationship of Bund futures between LIFFE and DTB is investigated. Price transmission and information asymmetry between LIFFE and DTB are also examined.
ISSN:0270-7314
1096-9934
DOI:10.1002/fut.3990150108