@article{Kofman:267626,
      recid = {267626},
      author = {Kofman, Paul and Bouwman, Tony and Moser, James T.},
      title = {Is There Life(F)E After DTB?: Competitive Aspects of Cross  Listed Futures Contracts on Synchronous Markets},
      address = {1994-07-01},
      number = {2012-2018-596},
      series = {Working Paper No. 9/94},
      pages = {32},
      year = {1994},
      abstract = {This paper analyzes the interaction between exchanges  trading in identical assets. Issues like price leadership,  market spreads and activity/volume are related to different  trading systems. Bid-ask spread estimation is conducted for  each market individually taking account of conditional  expectations. A VECM-GARCH (vector error correction with  generalized autoregressive conditional heteroscedasticity)  model incorporates the modeling implications of these  findings when extending the analysis to a multivariate  setting. Both univariate and multivariate tools are applied  to the competition in BUNts futures trading between LIFFE  (London International Financial Futures Exchange) and DTB  (Deutsche Terminborse). At the same time, a computerized  dealer system (DTB) is compared to an open outcry system  (LIFFE). In a broader context, this paper therefore has  implications for the survival potential of duplicative  contracts traded at simultaneous markets under different  trading systems.},
      url = {http://ageconsearch.umn.edu/record/267626},
      doi = {https://doi.org/10.22004/ag.econ.267626},
}