IDEAS home Printed from https://ideas.repec.org/a/ids/ijbder/v3y2017i3p235-252.html
   My bibliography  Save this article

A reverse index futures split effect on liquidity and market dynamics

Author

Listed:
  • Fassas Athanasios
  • Hourvouliades Nikolas

Abstract

This paper examines the relationship between daily price variability and trading activity dynamics six months before and after the redesign of FTSE/ATHEX large cap futures contract in June 2016. Although contract and tick size is a critical factor for the viability of a futures market, there has been limited empirical research on this topic. The particular change of contract specifications provides this study with a unique opportunity to investigate the impact of contract size on futures market characteristics. Our empirical findings suggest that although the change in the size of the futures contract have resulted in lower trading costs, it did not spur investors' interest in the Greek derivatives market. The results of this study have significant practical relevance in terms of futures market design decisions.

Suggested Citation

  • Fassas Athanasios & Hourvouliades Nikolas, 2017. "A reverse index futures split effect on liquidity and market dynamics," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 3(3), pages 235-252.
    • Handle: RePEc:ids:ijbder:v:3:y:2017:i:3:p:235-252
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=88533
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijbder:v:3:y:2017:i:3:p:235-252. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=405 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.