<section xml:id="fut21652-sec-0001"> This study examines the informativeness of trades and quotes in the FTSE 100 index futures market. Using a tick time model, we decompose the innovation in the efficient price into a trade‐induced and a quote‐induced part. For the extensive time period from 2001 to 2011, we find that trades...</section>

We investigate changes in market quality in the United States and Canada during macroeconomic news announcements. We measure market quality in terms of the cost of trading, pricing errors, and returns dependence. Using a sample of cross-listed stocks and stock index futures, we provide robust...