Is it time to reduce the minimum tick sizes of the E‐mini futures?
Identifieur interne : 006245 ( Main/Exploration ); précédent : 006244; suivant : 006246Is it time to reduce the minimum tick sizes of the E‐mini futures?
Auteurs : Alexander Kurov [États-Unis] ; Tatyana Zabotina [États-Unis]Source :
- Journal of Futures Markets [ 0270-7314 ] ; 2005-01.
English descriptors
- Teeft :
- Alexander kurov, Assistant professor, Average spread, Binding constraints, Brokerage commissions, Cftc, Cftc estimator, Chicago board, Chicago mercantile exchange, Commodity futures trading commission, Competitive advantage, Competitive levels, Competitive market, Contract basis, Contract value, Corresponding contracts, Cti1, Cti2, Cti3, Cti4, Daily trading volume, December, Decimalization, Demand liquidity, Different trader types, Discrete prices, Electronic globex trading system, Electronic markets, Electronic platforms, Electronic trading, Empirical analysis, Empirical evidence, Empirical results, Exchange locals, Exchange locals trading contracts, Exclusive license, Execution costs, Execution spread, Execution spreada, Financial analysts journal, Financial economics, Financial intermediation, Financial markets, Financial research, Financial studies, Foucault, Full index points, Futures contract, Futures contracts, Futures futures, Futures markets, Futures table, Globex, Globex order submission times, Globex terminals, Hong kong stock exchange, Index futures contracts, Index points, Informal market makers, Informational advantage, Institutional traders, Intraday, Intraday variation, January, Kurov, Large price changes, Large proportion, Limit order, Limit order book, Limit order market, Limit order markets, Limit order traders, Limit orders, Liquidity, Liquidity demanders, Liquidity providers, Liquidity provision, Liquidity suppliers, Liquidity supply, Literature review, Local traders, Locals trading contracts, Locke, Lower trading costs, Market conditions, Market depth, Market impact, Market liquidity, Market makers, Market orders, Market quality, Market structure, Nyse, Nyse limit order book, Open interest, Open outcry, Open outcry futures markets, Open outcry markets, Open outcry trading, Order exposure, Order flow, Other floor traders, Other hand, Other traders, Outcry, Parasitic traders, Personal account, Potential impact, Preopening period, Price changes, Price competition, Price discovery, Price increment, Price moves, Price reversals, Price volatility, Public costs, Quantitative analysis, Regular contract, Regular futures, Regular trading hours, Results show, Retail customers, Sales data, Same time, Similar graph, Size reduction, Size reductions, Southern california, Spread number, Stock exchange, Submission times, Substantial privileges, Substantial proportion, Successful products, Sufficient compensation, Supply liquidity, Sydney futures exchange, Tatyana zabotina, Theoretical papers, Time precedence, Toronto stock exchange, Total volume, Trade data, Trade execution, Trade prices, Trade size, Trader, Trading, Trading costs, Trading floor, Trading pits, Trading volume, Transaction costs, Transitory volatility, Volatility, West virginia, West virginia university, Wiley periodicals, Zabotina.
Abstract
On the Chicago Mercantile Exchange (CME), so‐called “E‐mini” index futures contracts trade on the electronic GLOBEX trading system alongside the corresponding full‐size contracts that trade on the open outcry floor. This paper finds that the current minimum tick sizes of the E‐mini S&P 500 and E‐mini Nasdaq‐100 futures contracts act as binding constraints on the bid‐ask spreads by not allowing the spreads to decline to competitive levels. We also find that, while exchange locals trade very actively on GLOBEX, they do not tend to act as liquidity suppliers. Taken together, our empirical results suggest that it is time for the CME to consider decreasing the minimum tick sizes of the S&P 500 and Nasdaq‐100 E‐mini futures contracts. A tick size reduction is likely to result in lower trading costs in the E‐mini futures markets. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:79–104, 2005
Url:
DOI: 10.1002/fut.20119
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periodicals</term><term>Zabotina</term></keywords></textClass></profileDesc></teiHeader><front><div type="abstract" xml:lang="en">On the Chicago Mercantile Exchange (CME), so‐called “E‐mini” index futures contracts trade on the electronic GLOBEX trading system alongside the corresponding full‐size contracts that trade on the open outcry floor. This paper finds that the current minimum tick sizes of the E‐mini S&P 500 and E‐mini Nasdaq‐100 futures contracts act as binding constraints on the bid‐ask spreads by not allowing the spreads to decline to competitive levels. We also find that, while exchange locals trade very actively on GLOBEX, they do not tend to act as liquidity suppliers. Taken together, our empirical results suggest that it is time for the CME to consider decreasing the minimum tick sizes of the S&P 500 and Nasdaq‐100 E‐mini futures contracts. A tick size reduction is likely to result in lower trading costs in the E‐mini futures markets. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:79–104, 2005</div></front></TEI><affiliations><list><country><li>États-Unis</li></country><region><li>Illinois</li><li>Virginie-Occidentale</li></region></list><tree><country name="États-Unis"><region name="Virginie-Occidentale"><name sortKey="Kurov, Alexander" sort="Kurov, Alexander" uniqKey="Kurov A" first="Alexander" last="Kurov">Alexander Kurov</name></region><name sortKey="Kurov, Alexander" sort="Kurov, Alexander" uniqKey="Kurov A" first="Alexander" last="Kurov">Alexander Kurov</name><name sortKey="Zabotina, Tatyana" sort="Zabotina, Tatyana" uniqKey="Zabotina T" first="Tatyana" last="Zabotina">Tatyana Zabotina</name></country></tree></affiliations></record>Pour manipuler ce document sous Unix (Dilib)
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