Does tick size influence price discovery? Evidence from the Toronto Stock Exchange
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 index in both subperiods. The results are consistent with the view that the factors leading to successful price discovery do not depend on zero investment, as in futures markets, but do depend on a small tick size. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:49–66, 2003
Year of publication: |
2003
|
---|---|
Authors: | Marie‐Claude Beaulieu ; Ebrahim, Shafiq K. ; Morgan, Ieuan G. |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 23.2003, 1, p. 49-66
|
Publisher: |
John Wiley & Sons, Ltd. |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Does tick size influence price discovery? : Evidence from the Toronto stock exchange
Beaulieu, Marie-Claude, (2003)
-
Does tick size influence price discovery? Evidence from the Toronto Stock Exchange
Beaulieu, Marie-Claude, (2003)
-
Volatility transmission between foreign exchange and money markets
Ebrahim, Shafiq K., (2000)
- More ...