The Determinants of Liquidity and the Role of the Market-Maker in Commodity Futures Markets

This dissertation considers the issue of liquidity in corn and oats futures contracts traded on the Chicago Board of Trade, in particular the factors that influence liquidity in futures markets are analyzed. Several methods from futures and securities literature are used to estimate average liquidity costs for both half-hour periods during the trading day and for daily intervals. Since the actual bid-ask spread is not recorded and cannot be used to determine the accuracy of the estimators, various estimates are compared to expectations from past theory and research in determining the most appropriate estimator of liquidity costs.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Agricultural Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2014

Author dc:creator

• Waller, Mark Leonard

Contributors dc:contributor

• Thompson, Sarahelen R.

• Economics, Agricultural

Identifier

(UMI)AAI8823276

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/69890