This paper uses the methods of error correction and common factor analysis to estimate the contribution of locals (market makers who may participate directly by trading for their own account) and non‐local traders to price discovery on the floor of the Chicago Board of Trade (CBOT) and the...

This paper examines the contribution of local floor traders to price discovery on the Sydney Futures Exchange using the methods of error-correction and common-long-memory components. Four financial instruments (i.e., three-year bonds, ten-year bonds, ninety-day bankers accepted bills, and the...