Predatory or Sunshine Trading? Evidence from Crude Oil ETF Rolls
Abstract
We study prices, liquidity, and individual account trading activity around large and predictable ETF “roll” trades in crude oil futures markets to test the implications of the competing theories of predatory and sunshine trading. The results indicate narrower bid-ask spreads, greater limit order book depth, and a larger number of distinct trading accounts providing liquidity on roll versus non-roll dates. We also extend the theory of strategic trading ahead of a known liquidation to show that even a monopolist trader Kumar Venkataraman is the James M. Collins Chair in Finance and the Academic Director of the ENCAP Investments & LCM Group Alternative Asset Management Center at the Cox School of Business at Southern Methodist University. He has a PhD in Finance from Arizona State University. |
Download paper![]() |
Contact information |
Elvira Sojli |
This event is an Erasmus Finance Seminar. The Erasmus Finance Seminar series brings prominent researchers in Finance from all over the world to Rotterdam. |