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Indicating Ahead: Best Execution and the NASDAQ Preopening

✍ Scribed by Conrad S. Ciccotello; Frank M. Hatheway

Book ID
112258722
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
147 KB
Volume
9
Category
Article
ISSN
1042-9573

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## Abstract 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 d