The Behavior of Bid‐Ask Spreads in the Electronically‐Traded Corn Futures Market
基于实际买卖价差数据，首次分析农产品期货市场流动性成本，发现玉米期货市场流动性高、执行成本低，价差受交易量和价格波动影响但幅度小，在指数基金展期和美国农业部报告发布日变化较大。
Abstract This is the first paper to analyze liquidity costs in agricultural futures markets based on the observed bid‐ask spread (BAS) faced by market participants. The results reveal a highly liquid corn market that mostly offers order execution at minimum cost. The BAS responds negatively to volume and positively to price volatility, but also affects volume traded and price volatility. While statistically significant, these responses on a cents/bushel or a percentage basis are generally small. Liquidity costs are also virtually impervious to short‐term changes in demand for spreading and trend‐following trader activity, as well as differences from day‐of‐the‐week changes in market activity. Much larger cents/bushel and percentage changes in BAS occur during commodity index trader roll periods and on USDA report release days. The roll period findings indicate a sunshine trading effect, while announcement effects identify the importance of unexpected information and adverse selection on order execution costs. Overall, our research demonstrates that the transition to electronic trading in the corn futures market has led to low and stable liquidity costs, despite the market turbulence in 2008–2009.