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Trading System and Market Integration

Journal of Financial Intermediation 1998 7(3), 220-239
In this paper we investigate empirically the relative advantages of floor and screen trading systems. We judge the systems by their ability in providing a high degree of market integration. The main result is that a closer integration of underlying and derivative markets occurs when both instruments are screen traded, but the difference is significant only for short return intervals. In active trading periods the superiority of screen systems is even more pronounced.Journal of Economic Literature Classification Numbers:G15, G20.