Intraday liquidity in soybean complex futures markets

We examine persistence and cross‐market liquidity spillovers in the Chicago Mercantile Exchange soybean complex futures markets. A multidimensional liquidity measure is derived from the limit‐order‐book, and a Vector Heterogeneous Autoregressive model estimates high‐resoluted liquidity from 30 s to...

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Bibliographic Details
Published in:	The journal of futures markets Vol. 42; no. 7; pp. 1189 - 1211
Main Authors:	Boer, Thomas A. P., Gardebroek, Cornelis, Pennings, Joost M. E., Trujillo‐Barrera, Andres
Format:	Journal Article
Language:	English
Published:	Hoboken Wiley Periodicals Inc 01-07-2022
Subjects:	commodity markets Futures market futures markets limit‐order‐book Liquidity liquidity spillovers Trading
Online Access:	Get full text
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Summary:	We examine persistence and cross‐market liquidity spillovers in the Chicago Mercantile Exchange soybean complex futures markets. A multidimensional liquidity measure is derived from the limit‐order‐book, and a Vector Heterogeneous Autoregressive model estimates high‐resoluted liquidity from 30 s to one trading day. We find traders' order placement influenced by the liquidity of related markets. Liquidity persistence and positive liquidity spillovers mainly occur within 30 s, whereas spillovers for longer horizons are mostly negative. Findings are important for hedgers that hedge the crush and traders who wish to capitalize on the short‐term deviation of price relationships.
ISSN:	0270-7314 1096-9934
DOI:	10.1002/fut.22325