Karagozoglu, Ahmet K; Martell, Terrence F; Wang, George H K - In: Review of Quantitative Finance and Accounting 21 (2003) 4, pp. 323-48
The Chicago Mercantile Exchange reduced the size of its S&P 500 futures contract when it reduced the multiplier from 500 to 250 and increased the minimum tick from 0.05 to 0.10 on November 3, 1997. This is a rare major change in a very successful contract's specifications. We analyze effects of...