Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures
研究了粗棕榈油期货市场从1995年6月到2008年7月的数据，发现市场效率取决于波动性、期货合约期限和交易系统，高波动时公开喊价对短期合约更有效，电子交易对长期合约更有效。
Given the widespread transfer of trading to electronic platforms we ask whether such trading is more efficient than open outcry. Examining the Crude Palm Oil (CPO) market from 1995:06 to 2008:07, our findings, derived from a novel threshold autoregressive relative efficiency measure, are that efficiency is conditional on: (i) volatility; (ii) the maturity of the futures contract; and (iii) the market trading system. Specifically, when volatility is high, open outcry is superior for shorter maturities and electronic trading for longer maturities. These results suggest an efficiency skew and that there may be benefits to the coexistence of trading mechanisms.