Chung, Huimin; Sheu, Her-Jiun; Hsu, Shufang - In: International Review of Economics & Finance 19 (2010) 4, pp. 742-754
This study examines the pricing efficiency of E-mini and floor-traded index futures under electronic versus open-outcry trading platforms. By using OLS and quantile regressions to control for changes in market characteristics, we find that pricing errors are smaller in the E-mini markets than...