Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets
2008; Wiley; Volume: 28; Issue: 9 Linguagem: Inglês
10.1002/fut.20341
ISSN1096-9934
Autores Tópico(s)Financial Risk and Volatility Modeling
ResumoAbstract On April 2, 2006, the Chicago Mercantile Exchange reduced the minimum tick size of the floor‐traded and E‐mini Nasdaq‐100 futures from 0.5 to 0.25 index points. This study examines the effect of this change in the contract design on execution costs, informational efficiency, and price discovery. The results show a significant reduction in the effective spreads in both of the contract markets but especially in the electronically traded E‐mini futures. The paper also finds that the tick size reduction has improved price discovery and informational efficiency in the E‐mini futures market. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:871–888, 2008
Referência(s)