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| Tekijä: | McGroarty, F. Gwilym, O. ap Thomas, S. |
| Otsikko: | Structural changes, bid-ask spread composition and tick size in inter-bank futures trading |
| Lehti: | European Journal of Finance
2011 : APR, VOL 17:4 p. 285-306 |
| Asiasana: | futures markets market structure prices trade interest rates |
| Vapaa asiasana: | market microstructure |
| Kieli: | eng |
| Tiivistelmä: | This article studies a period containing three major structural changes, which constitute a natural experiment in the NYSE.Euronext-LIFFE European short-term interest rate (STIR) futures market. These changes comprise (1) a 50 % reduction in minimum tick size for the most heavily traded contract, (2) European Monetary Union and (3) the transition from open outcry to electronic trading. The article provides an analysis of a few microstructure features of the four largest European interest rate future contracts throughout this period. The focus is on bid-ask spread composition; after analyzing the tick size as the largest bid-ask spread component in almost every instance, the suggestion is that participants in the STIR future market might benefit from a reduction in minimum tick sizes. |
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