Market structure and microstructure, in international interest rate futures markets
AbstractWe 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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Bibliographic InfoArticle provided by Elsevier in its journal Research in International Business and Finance.
Volume (Year): 24 (2010)
Issue (Month): 3 (September)
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Web page: http://www.elsevier.com/locate/ribaf
High frequency data Futures Market microstructure Asymmetric information Order-driven;
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