Market structure and microstructure, in international interest rate futures markets |
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Authors: | Frank McGroarty Owain ap Gwilym |
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Institution: | a University of Southampton, School of Management, Highfield, Southampton, Hampshire SO17 1BJ, United Kingdom b Bangor Business School, United Kingdom c CASS Business School, United Kingdom |
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Abstract: | We examine the role of market structure in identifying microstructure features of the NYSE.Euronext-LIFFE STIR futures market by comparing the ability of two bid-ask spread component models to explain bid-ask spreads. These two models differ only in their assumptions about whether or not market makers are present. The period we analyze includes data from pit-based trading alongside electronic market data. We explore how market structure affects the way private information influences bid-ask spreads and return volatility. A second part of our study employs intraday correlation to investigate these links in greater depth, while a third part looks at how private information and trading noise contribute to price evolution. |
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Keywords: | High frequency data Futures Market microstructure Asymmetric information Order-driven |
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