## Abstract We investigate the price discovery role of an exchangeβtraded 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
Tick size change on the Stock Exchange of Thailand
β Scribed by Pantisa Pavabutr; Sukanya Prangwattananon
- Publisher
- Springer US
- Year
- 2008
- Tongue
- English
- Weight
- 362 KB
- Volume
- 32
- Category
- Article
- ISSN
- 0924-865X
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π SIMILAR VOLUMES
## 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
We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as possibly altering the tail behavior. On small return intervals, the tick-size can distort the calculation of correlations. Th