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The impact of a pro-rata algorithm on liquidity: Evidence from the NYSE LIFFE

✍ Scribed by Andrew Lepone; Jin Young Yang

Publisher: John Wiley and Sons
Year: 2011
Tongue: English
Weight: 138 KB
Volume: 32
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20536

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This study investigates the impact of introducing a pure pro‐rata algorithm on the liquidity of the market for Euribor futures contracts on NYSE LIFFE. Results indicate that the Euribor market experiences deterioration in liquidity: (1) both best and total depth fall and (2) quoted spreads widen after the structural change. Results also reveal that the Euribor market becomes more active after the event; both trading volume and trade frequency increase substantially after the event. Finally, after the transition, liquidity demanders are more likely to submit smaller market orders. The reduction in depth and increase in quoted spreads suggest that liquidity demanders incur higher trade execution costs after the transition. In contrast, the transition is beneficial for the exchange since trading volume is higher under the new regime. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:660–682, 2012

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