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The accuracy of the tick test: Evidence from the Australian stock exchange

✍ Scribed by Michael Aitken; Alex Frino

Book ID
117528902
Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
752 KB
Volume
20
Category
Article
ISSN
0378-4266

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## Abstract We investigate the price discovery role of an exchange‐traded fund and the futures contract for the same market index. We find that the fund predicts the index in the subperiod after but not in the subperiod before a substantial decrease in the minimum tick size. The futures predict the