Bid-Ask Spread Determinants in Treasury Note Futures Contracts at the Chicago Board of Trade

Recent research of market structure and transactions costs have shown that the structure of the trading platform can have an impact on the bid-ask spread. This paper provides additional evidence that suggests that the microstructure of financial markets has an impact on the effective bid-ask spread of tradable assets. Using a unique data set obtained from the Chicago Board of Trade (CBOT), we study whether institutionalized microstructure factors have an impact on the effective spread of the 10-year Treasury Notes Futures. Results indicate that a number of microstructural factors have significant impact on effective spread