Impact of a tick size reduction on liquidity: evidence from the Sydney Futures Exchange
β Scribed by Kiril Alampieski; Andrew Lepone
- Book ID
- 110936606
- Publisher
- John Wiley and Sons
- Year
- 2009
- Tongue
- English
- Weight
- 263 KB
- Volume
- 49
- Category
- Article
- ISSN
- 0810-5391
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Arbitragersβ activities are constrained by market liquidity. In turn, arbitrage activity may trigger order imbalances adversely affecting liquidity. We examine this issue by analyzing the link between the futuresβcash basis and bidβask spreads using intraday data on single stock futures (SSFs) contr
## Abstract This study examines the competition in price discovery among stock index, index futures, and index options in Taiwan. The priceβdiscovery ability of the Taiwan Top 50 Tracker Fund, an exchangeβtraded fund based on the Taiwan 50 index is examined. The authors find that, after the minimum