IDEAS home Printed from
   My bibliography  Save this article

Structural changes, bid-ask spread composition and tick size in inter-bank futures trading


  • Frank McGroarty
  • Owain ap Gwilym
  • Stephen Thomas


This paper studies a period containing three major structural changes, which constitute a natural experiment in the NYSE.Euronext-LIFFE European short-term interest rate (STIR) futures market. These changes comprise (1) a 50% reduction in minimum tick size for the most heavily traded contract, (2) European Monetary Union and (3) the transition from open outcry to electronic trading. We analyse a number of microstructure features of the four largest European interest rate futures contracts throughout this period. In particular, we focus on bid-ask spread composition using a recent model which is appropriate for this market structure. Our analysis identifies the tick size as the largest bid-ask spread component in almost every instance, which suggests that participants in this STIR future market might benefit from a reduction in minimum tick sizes.

Suggested Citation

  • Frank McGroarty & Owain ap Gwilym & Stephen Thomas, 2011. "Structural changes, bid-ask spread composition and tick size in inter-bank futures trading," The European Journal of Finance, Taylor & Francis Journals, vol. 17(4), pages 285-306.
  • Handle: RePEc:taf:eurjfi:v:17:y:2011:i:4:p:285-306
    DOI: 10.1080/1351847X.2010.481465

    Download full text from publisher

    File URL:
    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.


    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:taf:eurjfi:v:17:y:2011:i:4:p:285-306. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.