Bjursell, Johan; Frino, Alex; Tse, Yiuman; Wang, George H.K. - In: Journal of Empirical Finance 17 (2010) 5, pp. 967-980
This paper has two purposes. First, we examine the relationship between daily price volatility and trading activity one year before and after a change in contract size by examining the results of contract splits in the Australian share price index futures and the U.K. FTSE-100 futures contracts...