We consider the impact of the May 1999 move to screen trading of the LIFFE FTSE 100 index futures contract. This resulted in a narrowing of the effective spread. Spread determinants are broadly similar in the two regimes. The narrowing of the spread appears due to increased competition among...

We consider the impact of the May 1999 move by the London financial futures exchange LIFFE in relation to trading in the FTSE 100 index futures contract. The move was accompanied by a narrowing of the effective spread. Detailed examination of the tick data indicates that the determinants of the...