McGroarty, Frank; Gwilym, Owain ap; Thomas, Stephen - In: The European Journal of Finance 17 (2011) 4, pp. 285-306
This paper studies a period containing three major structural changes, which constitute a natural experiment in the NYSE.Euronext-LIFFE European short-term interest rate (STIR) futures market. These changes comprise (1) a 50% reduction in minimum tick size for the most heavily traded contract,...