Price clustering and bid-ask spreads in international bond futures


Ap Gwilym, Owain, Clare, Andrew and Thomas, Stephen (1998) Price clustering and bid-ask spreads in international bond futures. Journal of International Financial Markets, Institutions and Money, 3-4, (8), 377-391. (doi:10.1016/S1042-4431(98)00045-6).

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Description/Abstract

We examine price clustering in government bond futures contracts traded at the London International Financial Futures and Options Exchange (LIFFE) and its impact on bid-ask spreads. This open outcry environment provides a rich dataset comprising all quotes and trades, in contrast to data from markets such as the Chicago Mercantile Exchange (CME), which only includes price-change transactions. The German and UK bond futures have low levels of price clustering, and bid-ask spreads are concentrated at the minimum tick size. In contrast, the Italian and Japanese contracts reveal considerably more clustering, and this coincides with wider spreads. We also present evidence on the relationship between the degree of price clustering and trade size

Item Type: Article
ISSNs: 1042-4431 (print)
Related URLs:
Keywords: clustering, bid-ask spreads, futures
Subjects: H Social Sciences > HG Finance
Divisions: University Structure - Pre August 2011 > School of Management
ePrint ID: 37363
Date Deposited: 26 Apr 2007
Last Modified: 27 Mar 2014 18:23
URI: http://eprints.soton.ac.uk/id/eprint/37363

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