Order flow, dealer profitability, and price formation

• 成果类型: Article
• 署名作者: Locke, Peter; Onayev, Zhan
• 署名单位: Texas Christian University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.05.010
• 发表日期: 2007
• 页码: 857-887
• 关键词: Trading; Order Flow; INFORMATION; Dealers

摘要

We analyze the dynamics of the S&P 500 futures price, finding both short- and long-run effects of order flow on price. While price moves strongly with the order flow in the short-run, the long-run impact is slightly negative, attributable to costly slippage from a hedging propensity in futures markets. We find strong evidence of a state dependence in the relation between price and order flow, using both volume and floor trader income measures as states. We also find that both the long- and short-run impacts of order flow are greater when dealer income is higher. (c) 2007 Elsevier B.V. All rights reserved.