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Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?
2015
Journal of futures markets
It is still an unanswered question how much trading activity is needed for efficient price discovery in commodity futures markets. For this purpose, we investigate the price discovery process of two thinly traded agricultural futures contracts traded at the European Exchange in Frankfurt. Our empirical results show that the trading volume threshold which is necessary to facilitate efficient price discovery is very low. As our findings are based on constant and time-varying vector error
doi:10.1002/fut.21760
fatcat:uj7pvgbqrfbhjiayxngqpliqqe